Grain prices, oil prices, and multiple smooth breaks in a VAR

DOI10.1515/SNDE-2014-0101OpenAlexW2334129729MaRDI QIDQ2691667

Paul Jones, Walter Enders

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0101

zbMATH Keywords

nonlinear VARflexible Fourier formsmooth structural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

Non-linear unit root testing with arctangent trend: Simulation and applications in finance

Cites Work

• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• On the asymptotic normality of Fourier flexible form estimates
• Further evidence on breaking trend functions in macroeconomic variables
• The flexible Fourier form and Dickey-Fuller type unit root tests
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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