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عنوان فارسی مقاله:
مدلسازی تاثیر تغییر سازمان مبتنی بر پیش بینی در تورم ایالات متحده
عنوان انگلیسی مقاله:
Modeling the impact of forecast-based regime switches on US inflation
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Statistical inference We discuss inference for our smooth transition model specification from Section 2. Section 3.1 considers parameter estimation, while Section 3.2 concerns testing for our specific form of nonlinearity. 3.1. Estimation procedure We estimate the parameters in Eqs. (1)–(3) using weighted nonlinear least squares (wNLS); see for example Davidson and MacKinnon (2004, Chapter 6), where the weights follow from the time-varying variance σ 2 t . Many macroeconomic time series display a drop in volatility in the 1980s (Great Moderation; GM), see Kahn, McConnell, and Perez-Quiros (2002) and Summers (2005). Lately, there has been evidence that the ending of the Great Moderation was due to the 2008–2009 financial crisis (Clarida, 2010). We capture the Great Moderation period in our STAR model in Eq. (1) by allowing for two breaks in the variance σ 2 t and considering.
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کلمات کلیدی:
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