Purpose – The purpose of this chapter is twofold: to forecast gross domestic product (GDP) using nonparametric method, known as multivariate k-nearest neighbors method, and to provide asymptotic properties for this method. Methodology/approach – We consider monthly and quarterly...

Perron and Wada (J Monet Econ 56:749-65, 2009) propose a new method of decomposition of the GDP in its trend and cycle components, which overcomes the identification problems of models of unobserved components (UC) and ARIMA models and at the same time, admits non-linearities and asymmetries in...

This thesis utilizes modern Bayesian tools to evaluate the forecasting performance of two of the most widely used nonlinear time series models of post-war US GDP, the Markov Switching (MS) model and the Self-Exciting threshold autoregressive (SETAR) model. We develop a clear, empirical ground...

Purpose – The purpose of this chapter is to assess the role of collateralizable wealth and systemic risk in explaining future asset returns. Methodology/approach – To test this hypothesis, the chapter uses the residuals of the trend relationship among housing wealth and labor income to...