Nonlinear Time Series Analysis of Business Cycles : Contributions to Economic Analysis

Milas, Costas; Rothman, Philip; van Dijk, Dick

ISBN 10: 044451838X ISBN 13: 9780444518385

Editorial: Elsevier Science, Amsterdam, NL, 2006

Idioma: Ingl�s

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Descripci�n

xxiv, 436pp. Glossy printed cloth-covered boards. Bottom corners bumped. Internally neat, clean, bright and tight. 8vo.

N� de ref. del art�culo 006023

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Detalles bibliogr�ficos

T�tulo

Nonlinear Time Series Analysis of Business Cycles : Contributions to Economic Analysis

Editor

Elsevier Science, Amsterdam, NL

Fecha de publicaci�n

2006

Idioma

Ingl�s

ISBN 10

044451838X

ISBN 13

9780444518385

Encuadernaci�n

Hardcover

Edici�n

1st Edition.

Estado

Near Fine

Estado de la sobrecubierta

N/A

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Sinopsis

This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?

Rese�a del editor

The business cycle has long been the focus of empirical economic research. Until recently statistical analysis of macroeconomic fluctuations was dominated by linear time series methods. Over the past 15 years, however, economists have increasingly applied tractable parametric nonlinear time series models to business cycle data; most prominent in this set of models are the classes of Threshold AutoRegressive (TAR) models, Markov-Switching AutoRegressive (MSAR) models, and Smooth Transition AutoRegressive (STAR) models. In doing so, several important questions have been addressed in the literature, including:

1. Do out-of-sample (point, interval, density, and turning point) forecasts obtained with nonlinear time series models dominate those generated with linear models?

2. How should business cycles be dated and measured?

3. What is the response of output and employment to oil-price and monetary shocks?

4. How does monetary policy respond to asymmetries over the business cycle?

5. Are business cycles due more to permanent or to transitory negative shocks?

6. Is the business cycle asymmetric, and does it matter?

Accordingly, we have compiled and edited a book for the Elsevier economics program comprising 15 original papers on these and related themes.

*Contributions to Economic Analysis was established in 1952
*The series purpose is to stimulate the international exchange of scientific information
*The series includes books from all areas of macroeconomics and microeconomics

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