Nothing Special   »   [go: up one dir, main page]
create a website
The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks. (2004). Tzavalis, Elias ; Kapetanios, George.
In: Working Papers.
RePEc:qmw:qmwecw:wp524.

Full description at Econpapers || Download paper

Cited: 10

Citations received by this document

Cites: 26

References cited by this document

Cocites: 38

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Revisiting Oil Prices, Producer Price Index (PPI), and the Purchasing Managers Index (PMI) Nexus: China and the USA. (2019). Chang, Tsangyao ; Wang, Mei-Chih.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2019:p:913-925.

    Full description at Econpapers || Download paper

  2. The impact of economic policy shocks on the outcomes of the fiscal adjustment policies in Tanzania. (2013). Kihaule, Arnold Mathias .
    In: MPRA Paper.
    RePEc:pra:mprapa:46151.

    Full description at Econpapers || Download paper

  3. Breaks in DSGE models. (2008). Harrison, Richard ; Eklund, Jana ; Scott, Alasdair ; Kapetanios, George.
    In: 2008 Meeting Papers.
    RePEc:red:sed008:657.

    Full description at Econpapers || Download paper

  4. Bootstrap-based tests for deterministic time-varying coefficients in regression models. (2008). Kapetanios, George.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2008:i:2:p:534-545.

    Full description at Econpapers || Download paper

  5. Testing for Strict Stationarity. (2007). Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp602.

    Full description at Econpapers || Download paper

  6. Testing for Strict Stationarity. (2007). Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:602.

    Full description at Econpapers || Download paper

  7. Tests for Deterministic Parametric Structural Change in Regression Models. (2005). Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp539.

    Full description at Econpapers || Download paper

  8. Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset. (2005). Tzavalis, Elias ; Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp537.

    Full description at Econpapers || Download paper

  9. Tests for Deterministic Parametric Structural Change in Regression Models. (2005). Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:539.

    Full description at Econpapers || Download paper

  10. Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset. (2005). Tzavalis, Elias ; Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:537.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. (1989): âA New Approach to the Economic Analysis of Time Series,â Econometrica, 57(2), 357â384.
    Paper not yet in RePEc: Add citation now
  2. (1994): Time Series Analysis. Princeton University Press.
    Paper not yet in RePEc: Add citation now
  3. (1996): âThis is what Happened to the Oil Price-Macroeconomy Relationship,â Journal of Monetary Economics, 38, 215â220.
    Paper not yet in RePEc: Add citation now
  4. (1999): âInïation, Oil Prices and Monetary Policy,â Manuscript.
    Paper not yet in RePEc: Add citation now
  5. (2003): âWhat is an Oil Shock?,â Journal of Econometrics, 13, 363â398.
    Paper not yet in RePEc: Add citation now

  6. Balke, N. S. (1993): âDetecting Level Shifts in Time Series,â Journal of Business and Economic Statistics, 11, 81â92.

  7. Balke, N. S., and T. B. Fomby (1993): âLarge shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,â Journal of Applied Econometrics, 9, 181â200.

  8. Box, G. E. P., and G. Tiao (1975): âIntervation Analysis with Applications to Economic and Environmental Problems,â Journal of Americal Statistical Association, 70, 70â79.
    Paper not yet in RePEc: Add citation now

  9. Carrath, A. A., M. A. Hooker, and A. J. Oswald (1995): âUnemployment, Oil Prices, and the Real Interest Rate: Evidence from Canada and the UK,â in Aspects of Labour Market Behaviour: Essays in Honour of John Vanderkamp, ed. by A. Christoïdes, A. Grant, and B. Swadinsky. University of Toronto.

  10. Chan, K. S. (1993): âConsistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model,â The Annals of Statistics, 21(1), 520â533.
    Paper not yet in RePEc: Add citation now
  11. Cogley, T., and T. S. Sargent (2002): âDrifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US,â New York University, Mimeo.
    Paper not yet in RePEc: Add citation now

  12. Davis, S. J., and J. Haltiwanger (2001): âSectoral Job Creation and Destruction Responses to Oil Price Changes,â American Economic Review Papers and Proceedings, 77, 738â751.

  13. Hamilton, J. D. (1983): âOil and Macroeconomy Since World War II,â Journal of Political Economy, 91, 228â248.

  14. Harvey, A. C. (1989): Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  15. Hendry, D. F. (1997): Dynamic Econometrics. Oxford University Press.
    Paper not yet in RePEc: Add citation now

  16. Hooker, M. A. (1996): âWhat Happened to the Oil Price-Macroeconomy Relationship?,â Journal of Monetary Economics, 38, 195â213.

  17. Kapetanios, G. (2000): âSmall sample properties of the conditional least squares estimator in SETAR models,â Economics Letters, 69(3), 267â276.

  18. Lee, K., and S. Ni (2002): âOn the Dynamic Eïects of Oil Price Shocks: A Study Using Industry Level Data,â Journal of Monetary Economics, 49, 823â852.

  19. Lee, K., S. Ni, and R. A. Ratti (1995): âOil Price Shocks and Macroeconomy: The Role of Price Variability,â Energy Journal, 16, 39â56.

  20. Lillien, D. (1982): âSectoral Shifts and Cyclical Unemployment,â Journal of Political Economy, 90, 740â744.
    Paper not yet in RePEc: Add citation now

  21. Lin, C. F., and T. Terasvirta (1994): âTesting the Constancy of Regression Parameters Against Continuous Structural Change,â Journal of Econometrics, 62, 211â228.

  22. Mork, K. A. (1989): âOil and Macroeconomy when Prices Go Up and Down: An Extension of Hamiltonâs Results,â Journal of Political Economy, 97, 740â744.

  23. Phelps, E. S. (1994): Structural Slumps. Harvard University Press.
    Paper not yet in RePEc: Add citation now
  24. Sargent, T. S. (1999): The Conquest of American Inïation. Princeton University Press.
    Paper not yet in RePEc: Add citation now
  25. Tsay, R. S. (1988): âOutliers, Level Shifts and Variance Changes in Time Series,â Journal of Forecasting, 7, 1â20.
    Paper not yet in RePEc: Add citation now

  26. Tweedie, R. L. (1975): âSuïcient Conditions for Ergodicity and Recurrence of Markov Chains on a General State Space,â Stochastic Processes Appl., 3, 385â403.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
  2. A heuristic, iterative algorithm for change-point detection in abrupt change models. (2018). Kuchenhoff, Helmut ; Vito, ; Fasola, Salvatore.
    In: Computational Statistics.
    RePEc:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-017-0740-4.

    Full description at Econpapers || Download paper

  3. Permanent shocks and forecasting with moving averages. (2017). Brorsen, B ; Lee, Yoonsuk .
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:12:p:1213-1225.

    Full description at Econpapers || Download paper

  4. A Bayesian multiple structural change regression model with autocorrelated errors. (2016). Kim, Jaehee ; Jeong, Chulwoo .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:43:y:2016:i:9:p:1690-1705.

    Full description at Econpapers || Download paper

  5. The pairwise approach to model a large set of disaggregates with common trends. (2014). Espasa, Antoni ; Carlomagnol, Guillermo .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws141309.

    Full description at Econpapers || Download paper

  6. Inference for single and multiple change-points in time series. (2013). MacNeill, Ian ; Jandhyala, Venkata ; Fotopoulos, Stergios ; Liu, Pengyu .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:34:y:2013:i:4:p:423-446.

    Full description at Econpapers || Download paper

  7. Trends and random walks in macroeconomic time series: A reappraisal. (2012). Darné, Olivier ; Charles, Amelie.
    In: Post-Print.
    RePEc:hal:journl:hal-00956937.

    Full description at Econpapers || Download paper

  8. Trends and random walks in macroeconomic time series: A reappraisal. (2012). Darné, Olivier ; CHARLES, Amelie.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:1:p:167-180.

    Full description at Econpapers || Download paper

  9. Large shocks in U.S. macroeconomic time series: 1860-1988. (2011). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-00771828.

    Full description at Econpapers || Download paper

  10. Modeling structural breaks in economic relationships using large shocks. (2010). Tzavalis, Elias ; Kapetanios, G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:3:p:417-436.

    Full description at Econpapers || Download paper

  11. Detecting level shifts in ARMA-GARCH (1,1) Models. (2009). Catalan, Beatriz ; Trivez, Javier F..
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:36:y:2009:i:6:p:679-697.

    Full description at Econpapers || Download paper

  12. Large shocks in U.S. macroeconomic time series: 1860–1988. (2009). Darné, Olivier ; CHARLES, Amelie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00422502.

    Full description at Econpapers || Download paper

  13. The uncertain unit root in real GNP: A re-examination. (2009). Darné, Olivier ; Darne, Olivier.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:31:y:2009:i:1:p:153-166.

    Full description at Econpapers || Download paper

  14. Multiscale spectral analysis for detecting short and long range change points in time series. (2008). Godtliebsen, Fred ; Chaudhuri, Probal ; Olsen, Lena Ringstad.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:7:p:3310-3330.

    Full description at Econpapers || Download paper

  15. Forecasting volatility in GARCH models with additive outliers. (2007). F. Javier Trívez, .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:6:p:591-596.

    Full description at Econpapers || Download paper

  16. Testing for infrequent permanent shocks: is the US inflation rate stationary?. (2007). Fujihara, Roger A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:12:p:951-960.

    Full description at Econpapers || Download paper

  17. Use of Partial Cumulative Sum to Detect Trends and Change Periods for Nonlinear Time Series. (2006). Wu, Berlin ; Chen, Liyang .
    In: Journal of Economics and Management.
    RePEc:jec:journl:v:2:y:2006:i:2:p:123-145.

    Full description at Econpapers || Download paper

  18. Restricted estimation of an adjusted time series: application to Mexicos industrial production index. (2005). Guerrero, Victor .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:32:y:2005:i:2:p:157-177.

    Full description at Econpapers || Download paper

  19. The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks. (2004). Tzavalis, Elias ; Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp524.

    Full description at Econpapers || Download paper

  20. The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks. (2004). Kapetanios, George.
    In: Working Papers.
    RePEc:qmw:qmwecw:524.

    Full description at Econpapers || Download paper

  21. Smooth transition exponential smoothing. (2004). Taylor, James W..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:23:y:2004:i:6:p:385-404.

    Full description at Econpapers || Download paper

  22. DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-06.

    Full description at Econpapers || Download paper

  23. Prediction of deterministic functions: an application of a Gaussian kriging model to a time series outlier problem. (2004). Mira, Jose ; Sanchez, Maria Jesus .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:44:y:2004:i:3:p:477-491.

    Full description at Econpapers || Download paper

  24. Outlier detection in multivariate time series via projection pursuit. (2004). Galeano, Pedro ; Pea, Daniel ; Tsay, Ruey S..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws044211.

    Full description at Econpapers || Download paper

  25. Automatic selective intervention in dynamic linear models. (2003). Salvador, Manuel ; Gargallo, Pilar.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:30:y:2003:i:10:p:1161-1184.

    Full description at Econpapers || Download paper

  26. Testing and dating of structural changes in practice. (2003). Zeileis, Achim ; Krämer, Walter ; Kleiber, Christian ; Kramer, Walter ; Hornik, Kurt .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:44:y:2003:i:1-2:p:109-123.

    Full description at Econpapers || Download paper

  27. Detecting level shifts in the presence of conditional heteroscedasticity.. (2003). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws036313.

    Full description at Econpapers || Download paper

  28. Testing and dating of structural changes in practice. (2002). Zeileis, Achim ; Krämer, Walter ; Kleiber, Christian ; Kramer, Walter ; Hornik, Kurt .
    In: Technical Reports.
    RePEc:zbw:sfb475:200239.

    Full description at Econpapers || Download paper

  29. Outliers in eleven Finnish macroeconomic time series. (2001). Tolvi, Jussi .
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:14:y:2001:i:1:p:14-32.

    Full description at Econpapers || Download paper

  30. Structural breaks, ARIMA model and Finnish inflation forecasts. (2001). Junttila, Juha.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:17:y:2001:i:2:p:203-230.

    Full description at Econpapers || Download paper

  31. Computing Observation Weights for Signal Extraction and Filtering. (2000). Koopman, Siem Jan ; Harvey, Andrew.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0888.

    Full description at Econpapers || Download paper

  32. Statistical Algorithms for Models in State Space Using SsfPack 2.2. (1998). Doornik, Jurgen ; Shephard, N ; Koopman, S. J. M., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:8fe36759-6517-4c66-86fa-e8cb6bc2b624.

    Full description at Econpapers || Download paper

  33. Statistical Algorithms for Models in State Space Using SsfPack 2.2. (1998). Shephard, Neil ; Koopman, Siem Jan ; Doornik, Jurgen ; Koopman, S. J. M., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:8fe36759-6517-4c66-86fa-e8cb6bc2b624.

    Full description at Econpapers || Download paper

  34. Statistical algorithms for models in state space using SsfPack 2.2. (1998). Doornik, Jurgen ; Koopman, Siem Jan ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:1998-w06.

    Full description at Econpapers || Download paper

  35. Outlier robust cointegration analysis. (1997). Lucas, Andre ; Franses, Philip Hans.
    In: Serie Research Memoranda.
    RePEc:vua:wpaper:1997-45.

    Full description at Econpapers || Download paper

  36. Detecting shocks: Outliers and breaks in time series. (1997). Shephard, Neil ; Koopman, Siem Jan ; Atkinson, A. C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:80:y:1997:i:2:p:387-422.

    Full description at Econpapers || Download paper

  37. A simple and fast method of regime shifts detection based on kernel density estimation.. (1993). Bianchi, Marco .
    In: Statistic und Oekonometrie.
    RePEc:wop:humbse:9316.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-20 12:19:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.