arXiv 21 Mar 2024 · Econometrics · publishedJournal of Economic Dynamics and Control (2025) · 2 citations (OpenAlex)
arXiv:2403.14216 · PDF · DOI · OpenAlex · Extracted main text
We introduce a new smooth transition vector autoregressive model with a Gaussian conditional distribution and transition weights that, for a $p$th order model, depend on the full distribution of the preceding $p$ observations. Specifically, the transition weight of each regime increases in its relative weighted likelihood. This data-driven approach facilitates capturing complex switching dynamics, enhancing the identification of gradual regime shifts. In an empirical application to the macroeconomic effects of a severe weather shock, we find that in monthly U.S. data from 1961:1 to 2022:3, the shock has stronger impact in the regime prevailing in the early part of the sample and in certain crisis periods than in the regime dominating the latter part of the sample. This suggests overall adaptation of the U.S. economy to severe weather over time.
appendix boundary found by appendix_command · 66% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kim H., Matthess C., Phan T. (in press) Severe weather and the macroeconomy | 0.977 | 15 | 4 | 93% |
| 2 | Virolainen S (2025) sstvars: Toolkit for reduced form and structural smooth transition vector autoregressive models | 0.928 | 5 | 5 | 80% |
| 3 | Kilian L., Lütkepohl H (2017) Structural vector autoregressive analysis | 0.928 | 5 | 3 | 80% |
| 4 | Kalliovirta L., Meitz M., Saikkonen P (2016) Gaussian mixture vector autoregression | 0.920 | 9 | 7 | 78% |
| 5 | Virolainen S (2022) A mixture autoregressive model based on Gaussian and Student's $t$-distributions | 0.811 | 4 | 2 | 100% |
| 6 | Kheifets I., Saikkonen P (2020) Stationarity and ergodicity of vector STAR models | 0.794 | 14 | 3 | 50% |
| 7 | Anderson H., Vahid F (1998) Testing multiple equation systems for common nonlinear components | 0.737 | 3 | 3 | 67% |
| 8 | Koop G., Pesaran M., Potter S (1996) Impulse response analysis in nonlinear multivariate models | 0.737 | 3 | 3 | 67% |
| 9 | Virolainen S (2025) A statistically identified structural vector autoregression with endogeneously switching volatility regime | 0.737 | 3 | 2 | 100% |
| 10 | Saikkonen P (2008) Stability of regime switching error correction models under linear cointegration | 0.659 | 7 | 3 | 29% |
Showing the top 10 of 30 scored citations.