Search results for "Threshold Cointegration"

showing 2 items of 2 documents

FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS

2009

We analyze the fiscal adjustment process in the United States using a multivariate threshold vector error regression model. The shift from single-equation to multivariate setting adds value both in terms of our economic understanding of the fiscal adjustment process and the forecasting performance of nonlinear models. We find evidence that fiscal authorities intervene to reduce real per capita deficit only when it reaches a certain threshold and that fiscal adjustment takes place primarily by cutting government expenditure. The results of out-of-sample density forecast and probability forecasts suggest that a shift from a univariate autoregressive model to a multivariate model improves fore…

MacroeconomicsEconomics and EconometricsMultivariate statisticsUnivariateRegression analysisGeneral Business Management and AccountingNonlinear time series analysisAutoregressive modelnon line time series; forecasting; government solvencyValue (economics)Per capitaEconomicsEconometricsFiscal adjustmentThreshold Cointegration Forecasting Deficit Sustainability
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Threshold Effects in the U.S. Budget Deficit. ECONOMIC INQUIRY

2004

We contribute to the debate on whether the U.S. large federal budget deficits are sustainable in the long run. We model the U.S. government deficit per capita as a threshold autoregressive process. We find evidence that the U.S. budget deficit is sustainable in the long run and that economic policy makers will only intervene to reduce per capita deficit when it reaches a certain threshold.

intertemporal solvencythreshold cointegration
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