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  • Search: subject:"Vector STAR"
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Year of publication
Subject
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Vector STAR 12 real economy 12 euro area 9 financial cycle 9 financial stress 8 Vector STAR model 7 estimation 6 grid search 6 non-linearieties 6 optimization heuristics 6 regime-switching 6 starting-values 6 EU countries 5 EU-Staaten 5 Financial sector 5 Finanzsektor 5 Vector STAR models 5 Business cycle 4 Euro area 4 Eurozone 4 Financial crisis 4 Financial market 4 Finanzkrise 4 Finanzmarkt 4 Geldpolitik 4 Konjunktur 4 Monetary policy 4 VAR model 4 VAR-Modell 4 Overleveraging 3 banking sector 3 credit flows 3 regime switch 3 Common features 2 Estimation theory 2 Heuristics 2 Heuristik 2 Lagrange Multiplier test 2 Mathematical programming 2 Mathematische Optimierung 2
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Online availability
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Free 24
Type of publication
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Book / Working Paper 21 Article 3
Type of publication (narrower categories)
All
Working Paper 11 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Konferenzschrift 1
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Language
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English 13 Undetermined 11
Author
All
Schleer, Frauke 18 Semmler, Willi 12 Yang, Yukai 4 Illner, Julian 3 He, Changli 2 Li, Dao 2 Terasvirta, Timo 2 Teräsvirta, Timo 2
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Institution
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Zentrum für Europäische Wirtschaftsforschung (ZEW) 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 School of Economics and Management, University of Aarhus 2 Bernard Schwartz Center for Economic Policy Analysis (SCEPA), The New School 1 Handelshögskolan, Örebro Universitet 1
Published in...
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ZEW Discussion Papers 8 ZEW discussion papers 5 CORE Discussion Papers 2 CREATES Research Papers 2 Econometrics 2 Econometrics : open access journal 1 SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 1 Working Paper 1 Working Papers / Handelshögskolan, Örebro Universitet 1 Working paper / Schwartz Center for Economic Policy Analysis 1
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Source
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RePEc 11 ECONIS (ZBW) 7 EconStor 6
Showing 1 - 10 of 24
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Finding starting-values for the estimation of vector STAR models
Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90
This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study … handle such an optimization problem sufficiently well. This result holds also for higher-dimensional Vector STAR models with … a slight edge for heuristic methods. For more complex Vector STAR models which require a multivariate search approach …
Persistent link: https://www.econbiz.de/10011755271
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Finding Starting-Values for the Estimation of Vector STAR Models
Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90
This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study … handle such an optimization problem sufficiently well. This result holds also for higher-dimensional Vector STAR models with … a slight edge for heuristic methods. For more complex Vector STAR models which require a multivariate search approach …
Persistent link: https://www.econbiz.de/10011147134
Saved in:
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Finding starting-values for the estimation of vector STAR models
Schleer, Frauke - In: Econometrics : open access journal 3 (2015) 1, pp. 65-90
This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study … handle such an optimization problem sufficiently well. This result holds also for higher-dimensional Vector STAR models with … a slight edge for heuristic methods. For more complex Vector STAR models which require a multivariate search approach …
Persistent link: https://www.econbiz.de/10010478983
Saved in:
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Financial sector-output dynamics in the euro area: Non-linearities reconsidered
Schleer, Frauke; Semmler, Willi - 2014
We analyze the feedback mechanisms between economic downturns and financial stress for several euro area countries. Our study employs newly constructed financial condition indices that incorporate banking variables extensively. We apply a non-linear Vector Smooth Transition Autoregressive...
Persistent link: https://www.econbiz.de/10010331366
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Overleveraging in the banking sector: Evidence from Europe
Schleer, Frauke; Semmler, Willi; Illner, Julian - 2014
and optimal debt ran apart and the banking sector began to suffer from overleveraging. We use a nonlinear Vector STAR …
Persistent link: https://www.econbiz.de/10010420388
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Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
Teräsvirta, Timo; Yang, Yukai - School of Economics and Management, University of Aarhus - 2014
We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of...
Persistent link: https://www.econbiz.de/10010851200
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Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
Teräsvirta, Timo; Yang, Yukai - School of Economics and Management, University of Aarhus - 2014
In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...
Persistent link: https://www.econbiz.de/10010851249
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Cover Image
Financial sector-output dynamics in the euro area: Non-linearities reconsidered
Schleer, Frauke; Semmler, Willi - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014
We analyze the feedback mechanisms between economic downturns and financial stress for several euro area countries. Our study employs newly constructed financial condition indices that incorporate banking variables extensively. We apply a non-linear Vector Smooth Transition Autoregressive...
Persistent link: https://www.econbiz.de/10010957598
Saved in:
Cover Image
Overleveraging in the banking sector: Evidence from Europe
Schleer, Frauke; Semmler, Willi; Illner, Julian - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014
and optimal debt ran apart and the banking sector began to suffer from overleveraging. We use a nonlinear Vector STAR …
Persistent link: https://www.econbiz.de/10010957671
Saved in:
Cover Image
Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered
Schleer, Frauke; Semmler, Willi - Bernard Schwartz Center for Economic Policy Analysis … - 2014
We analyze the feedback mechanisms between economic downturns and financial stress for several euro area countries. Our study employs newly constructed financial condition indices that incorporate banking variables extensively. We apply a non-linear Vector Smooth Transition Autoregressive...
Persistent link: https://www.econbiz.de/10010961653
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