Are apparent findings of nonlinearity due to structural instability in economic time series?
By: Gary Koop and Simon M. Potter.
Contributors: Potter, Simon M.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 59; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 59.
Publisher: Federal Reserve Bank of New York
Published: 1999
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Time-series analysis.
Description: "Many modeling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear.  If departures from linearity exist, it is important to know whether these are endogenously generated (as in, for example, a threshold autoregressive model) or whether they merely reflect changing structure over time.  We advocate a Bayesian approach and show how such an approach can be implemented in practice.  An empirical exercise involving several macroeconomic time series shows that apparent findings of threshold-type nonlinearities could be due to structural instability"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.