Threshold integrated moving average models: does size matter? maybe so

Oscar Martínez
Authors registered in the RePEc Author Service: Jesus Gonzalo

DE - Documentos de Trabajo. Economía. DE from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: The aim of this paper is to identify permanent and transitory shocks. This identification is done according to the size of the shocks or the size of some other important economic variable. In order to be able to carry this identification scheme on, we introduce a new class of threshold models: threshold integrated moving average models (TIMA). These are integrated models with a unit root in the moving average of one regime and an invertible moving average in the other regime. The former regime corresponds to transitory shocks,while the latter corresponds to permanent shocks. The paper analyzes the impulse response function generated by TIMA models and its invertibility. Consistency and asymptotic normality of least squares estimators are established and hypothesis tests for TIMA models are developed. The paper concludes with an application to exchange rates and stock market prices.

Keywords: Asymmetries; Moving; averaged; models; Permanent; shock; Persistence; Threshold; models; Transitory; shock (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Date: 2003-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Threshold Integrated Moving Average Models (Does Size Matter? Maybe So) (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:derepe:16008

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