Modéles autoregressifs à seuils multiple

Jean-Michel Zakoian

Annals of Economics and Statistics, 1994, issue 36, 23-56

Abstract: Based on endogenous regime switching, threshold autoregressive models have proved useful for taking into account some important features such as asymmetric cycles in macroeconomic time-series. However, their probabilistic properties, such as stability, are still incompletely known. We develop a method for approximating the stationary distribution in the neighborhood of linearity. Three linearity tests are proposed and their asymptotic properties are established. The finite sample properties of the tests are evaluated via a Monte-Carlo study.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1994:i:36:p:23-56

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