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Threshold models for trended time series

George Kapetanios

Empirical Economics, 2003, vol. 28, issue 4, 687-707

Abstract: This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and testing issues are considered and analysed. Additionally we apply the model to the empirical investigation of U.S. GDP. Copyright Springer-Verlag 2003

Keywords: Nonlinearity; threshold models; EDTAR models; forecasting; C22; C53 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (14)

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Working Paper: Threshold Models for Trended Time Series (1999) Downloads
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DOI: 10.1007/s00181-003-0154-8

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