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Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement

Jackson, Laura E.; Kose, M. Ayhan; Otrok, Christopher M.; … - In: Dynamic factor models, (pp. 361-400). 2016

Persistent link: https://www.econbiz.de/10011448672

Specification and estimation of Bayesian dynamic factor models : a Monte Carlo analysis with an application to global house price comovement

Jackson, Laura E.; Kose, M. Ayhan; Otrok, Christopher M.; … - 2015

Persistent link: https://www.econbiz.de/10011392890

An endogenously clustered factor approach to international business cycles

Francis, Neville; Owyang, Michael T.; Savascin, Ozge - In: Journal of applied econometrics 32 (2017) 7, pp. 1261-1276

Persistent link: https://www.econbiz.de/10011862595

An endogenously clustered factor approach to international business cycles

Francis, Neville; Owyang, Michael T.; Savascin, Özge - 2012

Persistent link: https://www.econbiz.de/10009530300

A time-varying threshold STAR model with applications

Dueker, Michael; Jackson, Laura; Owyang, Michael T.; … - In: Oxford open economics 2 (2023), pp. 1-12

Smooth-transition autoregressive (STAR) models, competitors of Markov-switching models, are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying threshold that can be interpreted as a 'tipping level' where the mean and dynamics of the VAR shift....

Persistent link: https://www.econbiz.de/10014492218