 Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)Oscar Martin and Jesus Gonzalo No 145, Econometric Society 2004 North American Winter Meetings from Econometric Society 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 threshold structure in the moving average part. In one of the regimes the moving average has a unit root and in the other an invertible one. 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 their 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; Movong Average Models; Permanent Shock; Persistence; Threshold Models; Transitory Shock. (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:145 Access Statistics for this paper More papers in Econometric Society 2004 North American Winter Meetings from Econometric Society Contact information at EDIRC. |
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