Threshold models for trended time series

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and testing issues are considered and analysed. Additionally we apply the model to the empirical investigation of U.S. GDP. Copyright Springer-Verlag 2003

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Year of publication:	2003
Authors:	Kapetanios, George
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 28.2003, 4, p. 687-707
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	Nonlinearity \| threshold models \| EDTAR models \| forecasting

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005612914