Estimation in threshold autoregressive models with a stationary and a unit root regime

Jiti Gao, Dag Tjøstheim and Jiying Yin

Journal of Econometrics, 2013, vol. 172, issue 1, 1-13

Abstract: This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models has basically focused on models where the nonstationarity can be removed by differencing and/or where the threshold variable is stationary. This is not the case for the process we consider, and nonstandard estimation problems are the result.

Date: 2013
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Citations: View citations in EconPapers (14)

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Working Paper: Estimation in threshold autoregressive models with a stationary and a unit root regime (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:172:y:2013:i:1:p:1-13

DOI: 10.1016/j.jeconom.2011.12.006

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