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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Quaderni - Working Paper DSE ; No. 1067
- Classification
-
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
- Event
-
Geistige Schöpfung
- (who)
-
Heravi, Saeed
Easaw, Joshy
Golinelli, Roberto
- Event
-
Veröffentlichung
- (who)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (where)
-
Bologna
- (when)
-
2016
- DOI
-
doi:10.6092/unibo/amsacta/5167
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Heravi, Saeed
- Easaw, Joshy
- Golinelli, Roberto
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Time of origin
- 2016
Other Objects (12)
State-Dependent Risk Aversion
State-dependent memory in infants
State-dependent monetary policy regimes
Risk and state-dependent financial frictions
Linearizing equations with state-dependent delays
Circuits for State-Dependent Modulation of Locomotion
On planning with state-dependent action costs
Ultracold strontium in state-dependent optical lattices
Macroeconomic Expectations and State-Dependent Factor Returns
Macroeconomic expectations and state-dependent factor returns
Inflation in Poland under state-dependent pricing
Distributional dynamics under smoothly state-dependent pricing
State-Dependent Risk Aversion
State-dependent memory in infants
State-dependent monetary policy regimes
Risk and state-dependent financial frictions
Linearizing equations with state-dependent delays
Circuits for State-Dependent Modulation of Locomotion
On planning with state-dependent action costs
Ultracold strontium in state-dependent optical lattices
Macroeconomic Expectations and State-Dependent Factor Returns
Macroeconomic expectations and state-dependent factor returns
Inflation in Poland under state-dependent pricing
Distributional dynamics under smoothly state-dependent pricing
State-Dependent Risk Aversion
State-dependent memory in infants
State-dependent monetary policy regimes
Risk and state-dependent financial frictions
Linearizing equations with state-dependent delays
Circuits for State-Dependent Modulation of Locomotion
On planning with state-dependent action costs
Ultracold strontium in state-dependent optical lattices
Macroeconomic Expectations and State-Dependent Factor Returns
Macroeconomic expectations and state-dependent factor returns
Inflation in Poland under state-dependent pricing