Copula-based piecewise regression

Erdely, Arturo

doi:10.1007/978-3-319-64221-5_5

Copulas and Dependence Models With Applications 2017

DOI: 10.1007/978-3-319-64221-5_5

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Copula-based piecewise regression

Arturo Erdely

Abstract: Most common parametric families of copulas are totally ordered, and in many cases they are also positively or negatively regression dependent and therefore they lead to monotone regression functions, which makes them not suitable for dependence relationships that imply or suggest a non-monotone regression function. A gluing copula approach is proposed to decompose the underlying copula into totally ordered copulas that combined may lead to a non-monotone regression function. arXiv:1702.05829v2 [stat.ME]

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confidence: 99%

Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach*

2022

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Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law (the well-known output-unemployment co-movement). We use a logistic smooth transition regression (LSTR) model where threshold endogeneity is addressed using copula transformations of the threshold variable. We also suggest a test of the linearity hypothesis against the LSTR model. In line with Okun's insight (and that of the subsequent literature) that the trade-off can be affected by different margins, we consider several potential threshold variables. We find mainly a combination of structural and policy-related variables accounts for changes in the Okun's law trade-off for the United States in recent decades. This conclusion is bolstered by combing these threshold candidates into a single factor. Accordingly, we find that the unemployment gap is increasingly associated with a smaller output gap. Notably, while the Great Recession accelerated that rise, the bulk of the change occurred beforehand.JEL Classification numbers: C24, C46, E23, E24. *We thank two referees, the editor Francesco Zanetti as well as Costas Azariadis, Clint Cummins, John Fernald, and numerous seminar audiences for helpful comments and discussions. The opinions expressed are those of the authors and not necessarily those of the Federal Reserve Bank of Kansas City, or of the Federal Reserve System. Christopoulos and Tzavalis acknowledge support for this research by the Hellenic Foundation for Research and Innovation under the 'First call for H.F.R.I. Research Projects to support Faculty members and Researchers and the procurement of high-cost research equipment grant' (project no: HFRI-FM17-3532).

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Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach*

2022

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Human Capital Threshold Effects in Economic Development: A Panel Data Approach With Endogenous Threshold

2022

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Copula-based piecewise regression

Cited by 2 publications

References 8 publications

Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach*

Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach*

Human Capital Threshold Effects in Economic Development: A Panel Data Approach With Endogenous Threshold

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