Overview
Simon M. Potter is a macroeconometrician who spent much of his career at the Federal Reserve Bank of New York (latterly head of its Markets Group), known for work on nonlinear time-series models, change-point and regime-switching methods, and Bayesian macroeconometrics — much of it in long-running collaboration with Gary Koop.
Key Contributions / Features
- Nonlinear impulse response (Koop-Pesaran-Potter 1996): the generalized impulse response function for nonlinear multivariate models.
- Bayesian change-point models (Koop-Potter 2004, 2006): unknown number of change-points with Poisson (rather than Geometric) regime durations; real-time forecasting via sequential importance sampling.
- Nonlinearity and Bayes factors (Koop-Potter 1999); threshold and floor-ceiling models of US output.
Related