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Threshold Models for Trended Time Series


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Working Paper

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Authors

Kapetanios, George 

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.

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Publisher

Faculty of Economics

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