Arbeitspapier
Generalized State-Dependent Models: A Multivariate Approach
The main purpose of this paper is to develop generalized 'State Dependent Models' (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm to show the impact of sentiment and income when modelling US consumption.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni - Working Paper DSE ; No. 1067
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Business Fluctuations; Cycles
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Heravi, Saeed
Easaw, Joshy
Golinelli, Roberto
- Ereignis
-
Veröffentlichung
- (wer)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (wo)
-
Bologna
- (wann)
-
2016
- DOI
-
doi:10.6092/unibo/amsacta/5167
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Heravi, Saeed
- Easaw, Joshy
- Golinelli, Roberto
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Entstanden
- 2016
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