#2008-012A "Inflation, Monetary Policy and Stock Market Conditions"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2008

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. More...

#2008-001A "Multivariate Markov Switching With Weighted Regime Determination: Giving France More Weight than Finland"
by Michael J. Dueker, and Martin Sola
January 2008

This article deals with using panel data to infer regime changes that are common to all of the cross section. The methods presented here apply to Markov switching vector autoregressions, dynamic factor models with Markov switching and other multivariate Markov switching models. More...

#2007-020A "Monetary Policy and Stock Market Booms and Busts in the 20th Century"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2007

This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. More...

#2007-019A "Multivariate Contemporaneous Threshold Autoregressive Models"
by Michael J. Dueker, Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo
May 2007

In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. More...

#2006-025B "The Price Puzzle and Indeterminacy in an Estimated DSGE Model"
by Anatoliy Belaygorod, and Michael J. Dueker
April 2006
Revised March 2007

We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). More...

#2005-071A "The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis"
by Michael J. Dueker, Stephen J. Spurr, Ada K. Jacox, and David E. Kalist
November 2005

The purpose of this study is to examine the causes and effects of State regulation that determines the extent of professional independence of advanced practice nurses (APNs). We analyze determinants of these regulations in panel data across States. More...

PUBLISHED: Journal of Regulatory Economics, May 2005, 27(3), pp. 309-30

#2005-057B "Kalman Filtering with Truncated Normal State Variables for Bayesian Estimation of Macroeconomic Models"
by Michael J. Dueker
July 2005
Revised March 2006

A pair of simple modifications-in the forecast error and forecast error variance-to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal and latent. More...

PUBLISHED: Economics Letters, October 2006, 93(1), pp. 58-62

#2004-030A "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths"
by Siddhartha Chib, and Michael J. Dueker
November 2004

This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime. In this model, regimes have dynamics, not only persistence, so that one regime can gradually give way to another. In this framework, it is natural to allow the autoregressive latent variable to be endogenous so that regimes are determined jointly with the observed data. More...

#2003-024C "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting"
by Michael J. Dueker, Martin Sola, and Fabio Spagnolo
August 2003
Revised May 2006

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. More...

PUBLISHED: Journal of Econometrics, December 2007, 141(2), pp. 517-47

#2002-025C "Business Cycle Filtering of Macroeconomic Data Via A Latent Business Cycle Index"
by Michael J. Dueker, and Charles R. Nelson
November 2002
Revised September 2005

We use Markov Chain Monte Carlo methods to augment, via a novel multi-move sampling scheme, a vector autoregressive system with a latent business cycle index that is negative during recessions and positive during expansions. We then sample counterfactual values of the macroeconomic variables in the case where the latent business cycle index is held constant. These counterfactual values represent posterior beliefs about how the economy would have evolved absent business cycle fluctuations. More...

PUBLISHED: Macroeconomic Dynamics, November 2006, 10(5), pp. 573-94