Nothing Special   »   [go: up one dir, main page]

create a website
Statistical Nonlinearities in the Business Cycle. (2003). Valderrama, Diego.
In: Computing in Economics and Finance 2003.
RePEc:sce:scecf3:219.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 36

References cited by this document

Cocites: 30

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Business Cycles around the Globe: A Regime-switching Approach. (2010). Bildirici, Melike ; Altug, Sumru.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7968.

    Full description at Econpapers || Download paper

  2. The impact of financial frictions on a small open economy: when current account borrowing hits a limit. (2002). Valderrama, Diego.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-15.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Altug, S., Ashley, R. A., Patterson, D. M., December 1999. Are technology shocks nonlinear? Macroeconomic Dynamics 3 (4), 506533.

  2. Ashley, R. A., Patterson, D. M., August 1989. Linear versus nonlinear macroeconomies: A statis- tical test. International Economic Review 30 (3), 685704.

  3. Baxter, M., King, R. G., November 1999. Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics Studies 81 (4), 57593.

  4. Brock, W. A., June 2000. Wither nonlinear? Journal of Economic Dynamics and Control 24 (57), 663678.

  5. Brock, W. A., Mirman, L., June 1972. Optimal economic growth and uncertainty: The discounted case. Journal of Economic Theory 4 (3), 479513.

  6. Brock, W. A., Sayers, C. L., 1988. Is the business cycle characterized by deterministic chaos. Journal of Monetary Economics 22, 7190.

  7. Browning, M., Hansen, L. P., Heckman, J. J., 1999. Micro data and general equilibrium models.

  8. Christiano, L. J., Fitzgerald, T. J., July 1999. The band pass filter, working Paper 7257: NBER, Cambridge, MA.

  9. Cooley, T. J., Prescott, E. C., 1995. Economic growth and business cycles. In: Cooley, T. F. (Ed.), Frontiers of Business Cycle Research. Princeton University Press, Princeton, N.J., Ch. 1, pp.
    Paper not yet in RePEc: Add citation now
  10. Cooper, R. W., Haltiwanger, J. C., September 2000. On the nature of adjustment costs. Working Paper 7925, NBER, Cambridge, MA.

  11. Gallant, A. R., August 1995. Comments on calibration, panel Disscussion, Seventh World Congress of the Econometric Society.

  12. Gallant, A. R., Nychka, D. W., 1987. Semi-nonparametric maximum likelihood estimation. Econo- metrica 55, 363390.

  13. Gallant, A. R., Tauchen, G., 1989. Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications. Econometrica 57, 10911120.

  14. Gallant, A. R., Tauchen, G., 1996. Which moments to match. Econometric Theory 12, 657681.

  15. Gallant, A. R., Tauchen, G., 1998. SNP: A program for nonparametric time series analysis, version 8.7, users guide, working paper, University of North Carolina at Chapel Hill. Available along with code and worked example by anonymous ftp at site ftp.econ.duke.edu in directory pub/arg/snp.
    Paper not yet in RePEc: Add citation now
  16. Gallant, A. R., Tauchen, G., 1999. EMM: A program for efficient method of moments estimation, version 1.4, users guide, working paper, University of North Carolina at Chapel Hill. Available along with code and worked example by anonymous ftp at site ftp.econ.duke.edu in directory pub/get/emm.
    Paper not yet in RePEc: Add citation now
  17. Gallant, A. R., Tauchen, G., April 2000. Efficient method of moments, working Paper.
    Paper not yet in RePEc: Add citation now
  18. Greenwood, J., Hercowitz, Z., Huffman, G. M., June 1988. Investment, capacity utilization, and the real business cycle. The American Economic Review 78 (3), 402417, 1988.

  19. Hansen, L. P., Heckman, J. D., Winter 1996. The empirical foundations of calibration. Journal of Economic Perspectives 10 (1), 87104.

  20. Hinich, M. J., Patterson, D. M., January 1985. Evidence of nonlinearity in daily stock returns.

  21. In: Handbook of Macroeconomics, 1st Edition. Vol. Ia of Handbooks in Economics. Elsevier, Amsterdam, Ch. 8, pp. 543633. Calvo, G. A., November 1998. Capital flows and capital market crises: The simple economics of sudden stops. Journal of Applied Economics 1 (1), 3554.

  22. International Statistical Review 55, 163172. Kim, J., Kim, S. H., December 2000. Spurious welfare reversals, Unpublished Manuscript.
    Paper not yet in RePEc: Add citation now
  23. Jarque, C. M., Bera, A. K., 1987. A test for normality of observations and regression residuals.
    Paper not yet in RePEc: Add citation now
  24. Journal of Business & Economic Statistics 3 (1), 6977. Hodrick, R., Prescott, E. C., 1980. Post-war U.S. business cycles. Working paper, Carnegie Mellon University, reproduced.
    Paper not yet in RePEc: Add citation now
  25. Kydland, F. E., Prescott, E. C., November 1982. Time to build and aggregate fluctuations. Econo- metrica 50, 13451370.

  26. Lundgren, T., Sjostrom, M., July 2001. A flexible specification of adjustment costs in dynamic factor demand models. Economics Letters 72 (1), 145150.

  27. Macurdy, T., December 1981. An empirical model of labor supply in a life-cycle setting. Journal of Political Economy 89 (6), 105985.

  28. Mendoza, E. G., 1994. The robustness of macroeconomic indicators. In: Leiderman, L., Razin, A.

  29. Mendoza, E. G., September 1991. Real business cycles in a small open economy. The American Economic Review 91 (4), 797818.

  30. Neftci, S. N., April 1984. Are economic time series asymmetric over the business cycle? Journal of Political Economy 92 (2), 307328.

  31. Potter, S. M., December 1999. Nonlinear time series modelling: An introduction. Journal of Eco- nomic Surveys 13 (5), 505528.

  32. Potter, S. M., September 2000. Nonlinear impulse response functions. Journal of Economic Dy- namics and Control 24 (10), 14251446.

  33. Razzak, W., January 2001. Business cycle asymmetries: International evidence. Review of Economic Dynamics 4 (1), 230243.

  34. Rothman, P., 1996. International evidence of business-cycle nonlinearity. In: Barnett, W. A., P., K. A., Salmon, M. (Eds.), Nonlinear dynamics and economics: Proceedings of the Tenth Interna- tional Symposium in Economic Theory and Econometrics. International Symposia in Economic Theory and Econometrics. Cambridge University Press, Cambdridge, UK, Ch. 14, pp. 333341.
    Paper not yet in RePEc: Add citation now
  35. Tauchen, G., Hussey, R., 1991. Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Econometrica 59, 371396.

  36. Valderrama, D., October 2001. The impact of financial frictions on a small open economy: When current account borrowing hits a limit, Unpublished manuscript, Duke University.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela.
    In: Papers.
    RePEc:arx:papers:2305.05762.

    Full description at Econpapers || Download paper

  2. Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel. (2020). Smyth, Russell ; liddle, brantley ; Zhang, Xibin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300207.

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: MPRA Paper.
    RePEc:pra:mprapa:73240.

    Full description at Econpapers || Download paper

  5. Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201602.

    Full description at Econpapers || Download paper

  6. Dynamic structure of the spot price of crude oil: does time aggregation matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: Energy Economics.
    RePEc:eee:eneeco:v:59:y:2016:i:c:p:227-237.

    Full description at Econpapers || Download paper

  7. Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis. (2013). GUEGAN, Dominique ; Billio, Monica ; Addo, Peter Martey.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12023r.

    Full description at Econpapers || Download paper

  8. Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur. (2012). De la Torre, Stephanie Rendon .
    In: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).
    RePEc:ega:rafega:201206.

    Full description at Econpapers || Download paper

  9. Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests. (2009). Lim, Kian-Ping ; Brooks, Robert.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:2:p:147-155.

    Full description at Econpapers || Download paper

  10. Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model. (2007). Valderrama, Diego.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:9:p:2957-2983.

    Full description at Econpapers || Download paper

  11. A New Bispectral Test for Nonlinear Serial Dependence. (2006). Dagum, Estelle ; Ashley, Richard ; Patterson, Douglas M. ; Rusticelli, Elena.
    In: Working Papers.
    RePEc:vpi:wpaper:e06-6.

    Full description at Econpapers || Download paper

  12. How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World. (2006). Briatka, Lubos .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp308.

    Full description at Econpapers || Download paper

  13. NÃO LINEARIDADE NOS CICLOS DE NEGÓCIOS: MODELO AUTO-REGRESSIVO “SMOOTH TRANSITION” PARA O ÍNDICE GERAL DE PRODUÇÃO INDUSTRIAL BRASILEIRO E BENS DE CAPITAL. (2006). Alves, Denisard ; Denisard Cneio de Oliveira Alves, ; Jo, .
    In: Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting].
    RePEc:anp:en2006:10.

    Full description at Econpapers || Download paper

  14. Capacity constraints, asymmetries, and the business cycle. (2005). Prescott, Edward ; Hansen, Gary.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:4:p:850-865.

    Full description at Econpapers || Download paper

  15. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997. (2004). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: Finance.
    RePEc:wpa:wuwpfi:0409037.

    Full description at Econpapers || Download paper

  16. Statistical Nonlinearities in the Business Cycle. (2003). Valderrama, Diego.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:219.

    Full description at Econpapers || Download paper

  17. Nonlinear Noise Estimation in International Capital Markets. (2002). Siriopoulos, Costas ; Leontitsis, Alexandros.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:6:y:2002:i:1:p:43-63.

    Full description at Econpapers || Download paper

  18. Nonlinearities in international business cycles. (2002). Valderrama, Diego.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-23.

    Full description at Econpapers || Download paper

  19. Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model. (2002). Valderrama, Diego.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-13.

    Full description at Econpapers || Download paper

  20. Overfitting and forecasting: linear versus non-linear time series models. (2000). Liu, Yamei.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:2000010108000014914.

    Full description at Econpapers || Download paper

  21. The effects of temporal aggregation on tests of linearity of a time series. (2000). Teles, Paulo ; Wei, William W. S., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:34:y:2000:i:1:p:91-103.

    Full description at Econpapers || Download paper

  22. Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997. (2000). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2000-06.

    Full description at Econpapers || Download paper

  23. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. (1998). Lux, Thomas.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:33:y:1998:i:2:p:143-165.

    Full description at Econpapers || Download paper

  24. Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984-1992. (1997). David Chappell, Robert M. Eldridge, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:3:y:1997:i:2:p:159-182.

    Full description at Econpapers || Download paper

  25. A single-blind controlled competition among tests for nonlinearity and chaos. (1997). Jensen, Mark ; Hinich, Melvin ; Gallant, A. ; Barnett, William ; Kaplan, Daniel T. ; Jungeilges, Jochen A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:82:y:1997:i:1:p:157-192.

    Full description at Econpapers || Download paper

  26. A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos. (1996). Jensen, Mark ; Hinich, Melvin ; Gallant, A. ; Barnett, William ; Kaplan, Daniel T. ; Jungeilges, Jochen A..
    In: Econometrics.
    RePEc:wpa:wuwpem:9602005.

    Full description at Econpapers || Download paper

  27. Factor demand models with nonlinear short-run fluctuations. (1996). Pfann, Gerard.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:315-331.

    Full description at Econpapers || Download paper

  28. Testing for Nonlinearities in Economic and Financial Time Series. (1995). Peat, Maurice ; Stevenson, Max .
    In: Working Paper Series.
    RePEc:uts:wpaper:48.

    Full description at Econpapers || Download paper

  29. METHODS IN ECONOMICS: TESTING FOR LINEARITY. (1994). Dufrénot, Gilles ; Laurent, Mathieu .
    In: Journal des Economistes et des Etudes Humaines.
    RePEc:bpj:jeehcn:v:5:y:1994:i:2-3:p:16:n:8.

    Full description at Econpapers || Download paper

  30. Sind Wechselkursfluktuationen zufällig oder chaotisch?. (1990). Kugler, Peter.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:1990-ii-2.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-15 17:02:07 || 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.