Search Results - subject:"EDTAR models"

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Threshold Models for Trended Time Series

Kapetanios, G. - Faculty of Economics, University of Cambridge - 1999

This paper presents the theoretical development of new threshold autoregressive models based on trended time series. The theoretical arguments underlying the models are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric models. Estimation and...

Persistent link: https://www.econbiz.de/10005113856

Threshold models for trended time series

Kapetanios, George - In: Empirical Economics 28 (2003) 4, pp. 687-707

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...

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