Showing 1 - 10 of 608
Persistent link: https://www.econbiz.de/10009513022
Persistent link: https://www.econbiz.de/10003735606
We estimate real US GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. We construct confidence intervals for the slope coefficients and...
Persistent link: https://www.econbiz.de/10012776370
Persistent link: https://www.econbiz.de/10001338713
Persistent link: https://www.econbiz.de/10001568815
Persistent link: https://www.econbiz.de/10009949904
Persistent link: https://www.econbiz.de/10002544754
Persistent link: https://www.econbiz.de/10003734433
The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two variants are considered: a simple threshold autoregressive (TAR) model, where the positive and negative disequilibria are the error corrections, and the momentum threshold...
Persistent link: https://www.econbiz.de/10014145753
Persistent link: https://www.econbiz.de/10001428413