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Studies in Nonlinear Dynamics and Econometrics Volume 19 Issue 3

Subject Areas: Economics and Econometrics
Publisher: Walter de Gruyter - de Gruyter
ISSN: 1081-1826
SJR: 33

LitStream

Journal Article

Frontmatter

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2015-frontmatter3
LitStream

Journal Article

Frontmatter

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2015-frontmatter3
LitStream

Journal Article

Bank characteristics and the interbank money market: a distributional approach

Iori, Giulia; Kapar, Burcu; Olmo, Jose

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0030

Abstract This paper studies the relationship between bank characteristics, such as size, nationality, operating currency and sovereign debt in the parent country, and the distribution of funding spreads observed in the e-MID interbank money market during the Great financial crisis. Our setup is a...
LitStream

Journal Article

Bank characteristics and the interbank money market: a distributional approach

Iori, Giulia; Kapar, Burcu; Olmo, Jose

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0030

AbstractThis paper studies the relationship between bank characteristics, such as size, nationality, operating currency and sovereign debt in the parent country, and the distribution of funding spreads observed in the e-MID interbank money market during the Great financial crisis. Our setup is a...
Open Access

Journal Article

State-dependent effects of fiscal policy

Fazzari, Steven M.; Morley, James; Panovska, Irina

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0022

AbstractWe investigate the effects of government spending on US output with a threshold structural vector autoregressive model. We consider Bayesian model comparison and generalized impulse response analysis to test for nonlinearities in the responses of output to government spending. Our...
LitStream

Journal Article

State-dependent effects of fiscal policy

Fazzari, Steven M.; Morley, James; Panovska, Irina

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0022

Abstract We investigate the effects of government spending on US output with a threshold structural vector autoregressive model. We consider Bayesian model comparison and generalized impulse response analysis to test for nonlinearities in the responses of output to government spending. Our...
LitStream

Journal Article

Panel conditional and multinomial logit with time-varying parameters

Lee, Myoung-jae

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0003

AbstractPanel conditional logit estimators (PCLE) in the literature use mostly time-constant parameters. If the panel periods are volatile or long, however, the model parameters can change much. Hence this paper generalizes PCLE with time-constant parameters to PCLE with time-varying parameters;...
LitStream

Journal Article

Panel conditional and multinomial logit with time-varying parameters

Lee, Myoung-jae

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2014-0003

Abstract Panel conditional logit estimators (PCLE) in the literature use mostly time-constant parameters. If the panel periods are volatile or long, however, the model parameters can change much. Hence this paper generalizes PCLE with time-constant parameters to PCLE with time-varying parameters;...
LitStream

Journal Article

Testing for co-nonlinearity

Hungnes, Håvard

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2013-0092

AbstractThis article introduces the concept of co-nonlinearity. Co-nonlinearity is an example of a common feature in time series [Engle, Robert F., and Sharon Kozicki. 1993. “Testing for Common Features.” Journal of Business & Economic Statistics 11 (4): 369–380] and an extension of the concept...
LitStream

Journal Article

Testing for co-nonlinearity

Hungnes, Håvard

2015 Studies in Nonlinear Dynamics & Econometrics

doi:10.1515/snde-2013-0092

Abstract This article introduces the concept of co-nonlinearity . Co-nonlinearity is an example of a common feature in time series (Engle, Robert F., and Sharon Kozicki. 1993. “Testing for Common Features.” Journal of Business & Economic Statistics 11 (4): 369–380) and an extension of the concept...

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