Characterizing Nonlinearities in US Business Cycles Using A Two-regime Switching STAR Model - Empirical Motivation from Dynamic Real Business Cycle and New Keynesian Paradigms

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Xu, Peng
dc.date.accessioned 2017-06-15T07:44:05Z
dc.date.available 2017-06-15T07:44:05Z
dc.date.issued 2016
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/26869
dc.description.abstract Nonlinear time series econometric models have contributed significantly in modeling macroeconomic and financial data. In the light of theoretical framework of business cycle, Money in the Utility Function Real Business Cycle (MIUF RBC) and New Keynesian (NK) paradigms and their equilibrium dynamics under exogenous shocks, this paper proposes a two-regime switching STAR model aiming to identify and capture nonlinear features of business cycle data, and compares its in-sample and out-of-sample performance against that from traditional linear models. en
dc.format.extent 96
dc.language.iso en en
dc.title Characterizing Nonlinearities in US Business Cycles Using A Two-regime Switching STAR Model - Empirical Motivation from Dynamic Real Business Cycle and New Keynesian Paradigms en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Taloustieteen laitos fi
dc.contributor.department Department of Economics en
dc.subject.keyword nonlinearity modeling
dc.subject.keyword business cycles
dc.subject.keyword regime-switching STAR
dc.subject.keyword forecasting
dc.identifier.urn URN:NBN:fi:aalto-201801181132
dc.type.dcmitype text en
dc.programme.major Kansantaloustiede fi
dc.programme.major Economics en
dc.type.ontasot Pro gradu tutkielma fi
dc.type.ontasot Master's thesis en
dc.subject.helecon kansantalous
dc.subject.helecon taloustieteet
dc.subject.helecon Yhdysvallat
dc.subject.helecon suhdanteet
dc.subject.helecon ennusteet
dc.subject.helecon mallit
dc.ethesisid 14774
dc.date.dateaccepted 2016-03-11
dc.location P1 I


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