This chapter surveys the recent literature on output forecasting, and examines the real-time
forecasting ability of several models for US output growth. In particular, it evaluates the …

This paper reviews a number of different methods that can be used to estimate potential
output and the output gap. Measures of potential output and the output gap are useful to …

Traditionally, economic growth and business cycles have been treated independently.
However, the dependence of GDP levels on its history of shocks, what economists refer to as …

This paper presents a unified approach to impulse response analysis which can be used for
both linear and nonlinear multivariate models. After discussing the advantages and …

This article proposes an extension to the Engle–Granger testing strategy by permitting
asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that …

As recovery from the Great Recession continues, economic development scholars and
practitioners are again focused on the pace and the sustainability of recovery, as well as on …

We consider quantile autoregression (QAR) models in which the autoregressive coefficients
can be expressed as monotone functions of a single, scalar random variable. The models …

This paper develops an asymptotic theory of inference for an unrestricted two‐regime
threshold autoregressive (TAR) model with an autoregressive unit root. We find that the …

In this paper, we introduce quantile coherency to measure general dependence structures
emerging in the joint distribution in the frequency domain and argue that this type of …

Quantile regression has important applications in risk management, portfolio optimization,
and asset pricing. The current paper studies estimation, inference and financial applications …