A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models

P. Siklos, W. Enders & B. Falk ()
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P. Siklos, W. Enders & B. Falk: Wilfrid Laurier University, http://www.wlu.ca/homepage.php?grp_id=1805&ct_id=1
Authors registered in the RePEc Author Service: Pierre Siklos ()

Working Papers from Wilfrid Laurier University, Department of Economics

Abstract: We estimate real U.S. GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. Specifically, standard- t , bootstrap- t , and bootstrap-percentile confidence intervals are simulated for the slope coefficients and the estimated threshold. However, the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods.

Keywords: Bootstrap GDP; Threshold Autoregression; Bootstrap Confidence Intervals (search for similar items in EconPapers)
JEL-codes: C12 C22 E17 (search for similar items in EconPapers)
Date: 2006, Revised 2006

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Related works:
Journal Article: A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:wlu:wpaper:eg0052

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