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

Andrea Cipollini, Kostas Mouratidis, Bassam Fattouh, Andrea Cipollini

Risultato della ricerca: Article

12 Citazioni (Scopus)

Abstract

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 forecast performance.
Lingua originaleEnglish
pagine (da-a)-
Numero di pagine21
RivistaEconomic Inquiry
Volume47
Stato di pubblicazionePublished - 2009

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Fiscal adjustment
Time series analysis
Nonlinear time series
Fiscal
Adjustment process
Authority
Multivariate models
Forecast performance
Forecasting performance
Autoregressive model
Density forecasts
Regression model
Economics
Probability forecasts
Government expenditure

All Science Journal Classification (ASJC) codes

  • Business, Management and Accounting(all)
  • Economics and Econometrics

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FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS. / Cipollini, Andrea; Mouratidis, Kostas; Fattouh, Bassam; Cipollini, Andrea.

In: Economic Inquiry, Vol. 47, 2009, pag. -.

Risultato della ricerca: Article

Cipollini, A, Mouratidis, K, Fattouh, B & Cipollini, A 2009, 'FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS', Economic Inquiry, vol. 47, pagg. -.
Cipollini, Andrea ; Mouratidis, Kostas ; Fattouh, Bassam ; Cipollini, Andrea. / FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS. In: Economic Inquiry. 2009 ; Vol. 47. pagg. -.
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