In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a...

In this paper, we propose a new class of regime shift models with exible switching mechanism that relies on a nonparametric probability function of the observed thresh- old variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables....

In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...

In this paper, we will study some business cycle models with sticky pricing and endogenous and firm-specific capital. We also manage to incorporate capital utilization into the models. As revealed by the simulation results, the cyclical behaviors of our business cycle models are quite normal...