Generalized State-Dependent Models: A Multivariate Approach

Heravi, Saeed ; Easaw, Joshy ; Golinelli, Roberto (2016) Generalized State-Dependent Models: A Multivariate Approach. Bologna: Dipartimento di Scienze economiche DSE, p. 27. DOI 10.6092/unibo/amsacta/5167. In: Quaderni - Working Paper DSE (1067). ISSN 2282-6483.
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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.

Tipologia del documento
Monografia (Working paper)
Heravi, Saeed
Easaw, Joshy
Golinelli, Roberto0000-0003-1107-6417
Parole chiave
Generalized State-Dependent Models, Multivariate Framework, Consumer Sentiments-Consumption Behavior
Settori scientifico-disciplinari
Data di deposito
01 Giu 2016 09:25
Ultima modifica
07 Giu 2017 08:57

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