On the public citation graph

On using Markov switching time series models to verify structural identifying restrictions and to assess public debt sustainability

https://doi.org/10.2870/80034
0 signed · 53 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-1255(199609)11:5<573::aid-jae413>3.0.co;2-topenalex-snapshot
Stock market volatility and the business cycle
inferredcites →https://doi.org/10.1002/(sici)1099-1255(199903/04)14:2<143::aid-jae500>3.0.co;2-xopenalex-snapshot
Detecting periodically collapsing bubbles: a Markov-switching unit root test
inferredcites →https://doi.org/10.1002/jae.807openalex-snapshot
Periodically expanding discounted debt: a threat to fiscal policy sustainability?
inferredcites →https://doi.org/10.1007/978-3-540-27752-1openalex-snapshot
New Introduction to Multiple Time Series Analysis
inferredcites →https://doi.org/10.1007/978-3-642-60623-6openalex-snapshot
Topics in Structural VAR Econometrics
inferredcites →https://doi.org/10.1007/bf02425168openalex-snapshot
Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
inferredcites →https://doi.org/10.1007/s00181-010-0369-4openalex-snapshot
Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach
inferredcites →https://doi.org/10.1016/0165-1765(88)90127-9openalex-snapshot
Long-run limits on the US Federal debt
inferredcites →https://doi.org/10.1016/0304-3932(85)90005-4openalex-snapshot
An historical decomposition of the great depression to determine the role of money
inferredcites →https://doi.org/10.1016/0304-4076(92)90104-yopenalex-snapshot
Testing the null hypothesis of stationarity against the alternative of a unit root
inferredcites →https://doi.org/10.1016/j.econlet.2004.02.005openalex-snapshot
Red signals: current account deficits and sustainability
inferredcites →https://doi.org/10.1016/j.econmod.2011.01.011openalex-snapshot
Current account deficits and sustainability: Evidence from the OECD countries
inferredcites →https://doi.org/10.1016/j.frl.2004.03.005openalex-snapshot
How do stock prices respond to fundamental shocks?
inferredcites →https://doi.org/10.1016/j.intfin.2003.06.001openalex-snapshot
How important are fundamentals?—Evidence from a structural VAR model for the stock markets in the US, Japan and Europe
inferredcites →https://doi.org/10.1016/j.jeconom.2003.10.030openalex-snapshot
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
inferredcites →https://doi.org/10.1016/j.jeconom.2014.06.012openalex-snapshot
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
inferredcites →https://doi.org/10.1016/j.jedc.2009.08.002openalex-snapshot
Structural vector autoregressions with Markov switching
inferredcites →https://doi.org/10.1016/j.jmoneco.2006.12.012openalex-snapshot
Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint?
inferredcites →https://doi.org/10.1016/j.qref.2003.07.001openalex-snapshot
Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?
inferredcites →https://doi.org/10.1016/j.qref.2010.03.004openalex-snapshot
How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA
inferredcites →https://doi.org/10.1016/s0148-6195(00)00037-0openalex-snapshot
Macro shocks and real stock prices
inferredcites →https://doi.org/10.1016/s0165-1765(02)00038-1openalex-snapshot
A simple method of testing for cointegration subject to multiple regime changes
inferredcites →https://doi.org/10.1016/s0261-5606(98)00012-6openalex-snapshot
International evidence on equity prices, interest rates and money
inferredcites →https://doi.org/10.1016/s0304-4076(01)00057-4openalex-snapshot
Stationarity of multivariate Markov–switching ARMA models
inferredcites →https://doi.org/10.1016/s0927-538x(98)00016-xopenalex-snapshot
Fundamental and nonfundamental components in stock prices of Pacific-Rim countries
inferredcites →https://doi.org/10.1016/s0927-5398(97)00025-xopenalex-snapshot
International evidence on the stock market and aggregate economic activity
inferredcites →https://doi.org/10.1016/s1042-4431(98)00036-5openalex-snapshot
Causal relations among stock returns and macroeconomic variables in a small, open economy
inferredcites →https://doi.org/10.1016/s1059-0560(99)00056-8openalex-snapshot
Stock market booms and real economic activity
inferredcites →https://doi.org/10.1017/cbo9780511606885openalex-snapshot
Applied Time Series Econometrics
inferredcites →https://doi.org/10.1017/cbo9780511758683openalex-snapshot
Economic Growth in Europe since 1945
inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.1080/01621459.1997.10473634openalex-snapshot
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
inferredcites →https://doi.org/10.1080/07350015.1991.10509831openalex-snapshot
Cointegration and Government Borrowing Constraints: Evidence for the United States
inferredcites →https://doi.org/10.1080/07350015.1995.10524615openalex-snapshot
Sustainability of the Deficit Process With Structural Shifts
inferredcites →https://doi.org/10.1080/07350015.2000.10524884openalex-snapshot
Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
inferredcites →https://doi.org/10.1080/07474939808800416openalex-snapshot
Bootstrap-based evaluation of markov-switching time series models
inferredcites →https://doi.org/10.1080/0960310042000233421openalex-snapshot
Fundamental share prices and aggregate real output
inferredcites →https://doi.org/10.1086/296344openalex-snapshot
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1111/j.1467-9892.2006.00487.xopenalex-snapshot
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb02389.xopenalex-snapshot
A VARMA Analysis of the Causal Relations Among Stock Returns, Real Output, and Nominal Interest Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02647.xopenalex-snapshot
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.1198/jbes.2009.06003openalex-snapshot
Structural Vector Autoregressions With Nonnormal Residuals
inferredcites →https://doi.org/10.1257/aer.101.5.1676openalex-snapshot
From Financial Crash to Debt Crisis
inferredcites →https://doi.org/10.1628/0015221053722532openalex-snapshot
Fiscal Sustainability: The Unpleasant European Case
inferredcites →https://doi.org/10.2307/1992415openalex-snapshot
The Sustainability of Government Deficits: Implications of the Present-Value Borrowing Constraint
inferredcites →https://doi.org/10.2307/1992777openalex-snapshot
Testing Intertemporal Budget Constraints: Theory and Applications to U. S. Federal Budget and Current Account Deficits
inferredcites →https://doi.org/10.2307/2328190openalex-snapshot
Stock Prices, Earnings, and Expected Dividends
inferredcites →https://doi.org/10.2307/2331250openalex-snapshot
The Response of Stock Prices to Permanent and Temporary Shocks to Dividends
inferredcites →https://doi.org/10.2307/2331376openalex-snapshot
Permanent, Temporary, and Non-Fundamental Components of Stock Prices
inferredcites →https://doi.org/10.3386/w1632openalex-snapshot
On the Limitations of Government Borrowing: A Framework for Empirical Testing
inferredcites →https://doi.org/10.3386/w2737openalex-snapshot
The Dynamic Effects of Aggregate Demand and Supply Disturbances

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3800535openalex-extracted
inferred← citeshttps://doi.org/10.1111/jtsa.12587openalex-snapshot
Jointly Determining the State Dimension and Lag Order for Markov-Switching Vector Autoregressive Models
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.