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dc.contributor.authorKapetanios, Georgeen_GB
dc.date.accessioned2004-06-16T16:05:50Z
dc.date.available2004-06-16T16:05:50Z
dc.date.created1999-01en_GB
dc.date.issued2004-06-16T16:05:50Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/416
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/416
dc.description.abstractThis 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.extent521673 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C22, C53en_GB
dc.subject.otherNonlinearity, Threshold models, EDTAR models, Forecastingen_GB
dc.titleThreshold Models for Trended Time Seriesen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5183


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