Threshold Models for Trended Time Series

George Kapetanios

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This 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.

Keywords: Nonlinearity; Threshold models; EDTAR models; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 1999-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Journal Article: Threshold models for trended time series (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:9905

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