[ skip to content ]

Fiscal Readjustments in the United States: a Nonliner Time-Series Analysis

Cipollini, Andrea and Fattouh, Bassam and Mouratidis, Kostas (2009) 'Fiscal Readjustments in the United States: a Nonliner Time-Series Analysis.' Economic Inquiry, 47 (1). pp. 34-54.

Full text not available from this repository.

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.

Item Type: Articles
SOAS Departments & Centres: Faculty of Law and Social Sciences > Department of Financial and Management Studies
ISSN: 14657295
Copyright Statement: © 2008 Western Economic Association International
DOI (Digital Object Identifier): 10.1111/j.1465-7295.2008.00139.x
Depositing User: Huei-Lan Liu
Date Deposited: 18 Feb 2009 12:03
URI: http://eprints.soas.ac.uk/id/eprint/6485

Repository staff only

View Item View Item