Teuber, Timo: Using penalized spline, generalized additive model and mixed model regression techniques to examine univariate and multivariate time series and in particular [...]. 2013
Inhalt
- 1 Introduction
- 2 Business Cycles
- 2.1 Cyclicality in Economies
- 2.2 Business Cycles in the Classical, Keynesian, Monetarism, Neo-Classical, and New-Keynesian View
- 2.3 Real Business Cycle Theory
- 2.4 Empirical Analysis of Business Cycles
- 3 Generalized Linear Models, Penalized Splines, B-Splines, Generalized Linear Mixed Models, and Generalized Additive Models
- 3.1 Generalized Linear Models
- 3.1.1 Distribution of the Exponential Family
- 3.1.2 Maximum Likelihood Estimation
- 3.1.3 Examples of the Exponential Family
- 3.2 Penalized Splines
- 3.3 B-Splines
- 3.4 Random Effects and (Generalized) Linear Mixed Models
- 3.5 Generalized Additive Models
- 3.6 Varying Coefficients Model
- 4 Application of GLM, GLMM, GAM, and Penalized Splines Regression Techniques
- 4.1 Cyclicality of Fiscal Policies in OECD Countries
- 4.1.1 The Baseline Model
- 4.1.2 Regression Techniques
- 4.1.3 Empirical Results
- 4.1.4 Extension of the basic model
- 4.2 Structuralist Model of the Wage-Price Spiral with Non-Linear Demand Pressure Terms
- 4.2.1 Cross-over Wage-Price Dynamics
- 4.2.2 A Generalized Additive Model to Estimate the Phillips Curve
- 4.2.3 Non-linearities in the Wage Demand-Pressure Term
- 4.3 The Dutch Tax Benefit System and Life Cycle Employment
- 5 Long-Term Centers, Bivariate Cycles, and Generalized Loops
- 5.1 Basic Bivariate Loops Model
- 5.1.1 Modelling Bivariate Cycles using Penalized Splines
- 5.1.2 Estimation and Properties of Estimates
- 5.1.3 Numerical and Practical Adjustments
- 5.1.4 Generalized Linear Mixed Models and Laplace Approximation
- 5.1.5 Short-Term Fluctuations and Long-Term Trends
- 5.1.6 Simulation
- 5.2 Extension of the Bivariate Loops Model
- 5.2.1 The Basic Model
- 5.2.2 An Extension of the Basic Model
- 5.2.3 Generalized Two-Dimensional Loops
- 5.2.4 Variance of Estimations
- 5.2.5 Simulations
- 5.3 The Basic and the Extended Three-Dimensional Loops Model
- 6 Interpreting the Business Cycles Analysis
- 6.1 Business and Long-Phase Cycles in Inflation and Income Distribution
- 6.2 Are the US Business Cycles Real Cycles?
- 6.3 Estimating the Leading, Coincident, and Lagging Indicators Using Generalized Two-Dimensional Loops
- 6.4 Estimating the Leading, Coincident, and Lagging Indicators Using Three-Dimensional Loops
- 7 Summary
- References