Threshold Models for Trended Time Series
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Authors
Kapetanios, George
Publication Date
2004-06-16Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Language
en_GB
Type
Working Paper
Metadata
Show full item recordCitation
Kapetanios, G. (2004). Threshold Models for Trended Time Series. https://doi.org/10.17863/CAM.5183
Abstract
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 testing issues are considered and analysed. Additionally, the models are applied to the empirical investigation of US GDP. The results are encouraging and warrant further research.
Keywords
Classification-JEL: C22, C53, Nonlinearity, Threshold models, EDTAR models, Forecasting
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.5183
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