A multi-level panel STAR model for US manufacturing sectors
Dick van Dijk (),
Dennis Fok and
Philip Hans Franses
Journal of Applied Econometrics, 2005, vol. 20, issue 6, 811-827
We introduce a multi-level smooth transition model for a panel of time series, which can be used to examine the presence of common nonlinear business cycle features across many variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully heterogeneous model, which allows for unrestricted nonlinearity. We introduce a second-stage model linking the parameters that determine the timing of the switches between business cycle regimes to observable explanatory variables, thereby allowing for lead-lag relationships across panel members. We discuss representation, estimation by concentrated simulated maximum likelihood and inference. We illustrate our model using quarterly industrial production in 19 US manufacturing sectors, and document that there are subtle differences across sectors in leads and lags for switches between business cycle recessions and expansions. Copyright © 2005 John Wiley & Sons, Ltd.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (43) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1002/jae.822 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2005-v20.6/ Supporting data files and programs (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:20:y:2005:i:6:p:811-827
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().