Threshold Models for Trended Time Series

dc.contributor.author	Kapetanios, George	en_GB
dc.date.accessioned	2004-06-16T16:05:50Z
dc.date.available	2004-06-16T16:05:50Z
dc.date.created	1999-01	en_GB
dc.date.issued	2004-06-16T16:05:50Z
dc.identifier.uri	http://www.dspace.cam.ac.uk/handle/1810/416
dc.identifier.uri	https://www.repository.cam.ac.uk/handle/1810/416
dc.description.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.	en_GB
dc.format.extent	521673 bytes
dc.format.mimetype	application/pdf	en_GB
dc.format.mimetype	application/pdf
dc.language.iso	en_GB
dc.publisher	Faculty of Economics
dc.relation.ispartofseries	Cambridge Working Papers in Economics
dc.rights	All Rights Reserved	en
dc.rights.uri	https://www.rioxx.net/licenses/all-rights-reserved/	en
dc.subject.classification	Classification-JEL: C22, C53	en_GB
dc.subject.other	Nonlinearity, Threshold models, EDTAR models, Forecasting	en_GB
dc.title	Threshold Models for Trended Time Series	en_GB
dc.type	Working Paper	en
dc.identifier.doi	10.17863/CAM.5183

Cambridge Working Papers in Economics (CWPE)
A new series of papers from the Faculty of Economics and the Department of Applied Economics, which supersedes the DAE Working Paper series