Search Results - subject:"Vector STAR"

Stationarity and ergodicity of vector STAR models

Kheifets, Igor L.; Saikkonen, Pentti J. - In: Econometric reviews 39 (2020) 4, pp. 407-414

Persistent link: https://www.econbiz.de/10012181431

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

Finding Starting-Values for the Estimation of Vector STAR Models

Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10011147134

Finding starting-values for the estimation of vector STAR models

Schleer, Frauke - In: Econometrics : open access journal 3 (2015) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10010478983

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

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

Financial sector-output dynamics in the euro area: Non-linearities reconsidered

Schleer, Frauke; Semmler, Willi - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014

Persistent link: https://www.econbiz.de/10010957598

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

Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered

Schleer, Frauke; Semmler, Willi - Bernard Schwartz Center for Economic Policy Analysis … - 2014

Persistent link: https://www.econbiz.de/10010961653

Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 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/10011246311