CHANGE DETECTION AND THE CAUSAL IMPACT OF THE YIELD CURVE

Shi, Shuping; Phillips, Peter; Hurn, Stan

dc.contributor.author	Shi, Shuping	en
dc.contributor.author	Phillips, Peter	en
dc.contributor.author	Hurn, Stan	en
dc.date.accessioned	2019-03-29T03:20:03Z	en
dc.date.issued	2018-11-01	en
dc.identifier.citation	JOURNAL OF TIME SERIES ANALYSIS 39(6):966-987 01 Nov 2018	en
dc.identifier.issn	0143-9782	en
dc.identifier.uri	http://hdl.handle.net/2292/46332	en
dc.language	English	en
dc.publisher	WILEY	en
dc.relation.ispartofseries	JOURNAL OF TIME SERIES ANALYSIS	en
dc.rights	Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher.	en
dc.rights	This is the peer reviewed version of the following article:Journal of Time Series Analysis 39(6):966-987 01 Nov 2018, which has been published in final form at http://dx.doi.org/10.1111/jtsa.12427. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.	en
dc.rights.uri	https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm	en
dc.rights.uri	https://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html	en
dc.subject	Science & Technology	en
dc.subject	Physical Sciences	en
dc.subject	Mathematics, Interdisciplinary Applications	en
dc.subject	Statistics & Probability	en
dc.subject	Mathematics	en
dc.subject	Causality	en
dc.subject	forward recursion	en
dc.subject	hypothesis testing	en
dc.subject	recursive evolving test	en
dc.subject	rolling window	en
dc.subject	yield curve	en
dc.subject	real economic activity	en
dc.subject	PREDICTING US RECESSIONS	en
dc.subject	MONEY-INCOME CAUSALITY	en
dc.subject	TERM STRUCTURE	en
dc.subject	FORECASTING RECESSIONS	en
dc.subject	VECTOR AUTOREGRESSIONS	en
dc.subject	ECONOMIC-GROWTH	en
dc.subject	LIMIT-THEOREMS	en
dc.subject	ROLLING WINDOW	en
dc.subject	INTEREST-RATES	en
dc.subject	SYSTEMIC RISK	en
dc.title	CHANGE DETECTION AND THE CAUSAL IMPACT OF THE YIELD CURVE	en
dc.type	Journal Article	en
dc.identifier.doi	10.1111/jtsa.12427	en
pubs.issue	6	en
pubs.begin-page	966	en
pubs.volume	39	en
dc.rights.holder	Copyright: John Wiley & Sons Ltd	en
pubs.author-url	http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000446452800011&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e41486220adb198d0efde5a3b153e7d	en
pubs.end-page	987	en
pubs.publication-status	Published	en
dc.rights.accessrights	http://purl.org/eprint/accessRights/OpenAccess	en
pubs.subtype	Article	en
pubs.subtype	Journal	en
pubs.elements-id	753447	en
pubs.org-id	Business and Economics	en
pubs.org-id	Economics	en
dc.identifier.eissn	1467-9892	en