Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration

Robert Kunst (robert.kunst@univie.ac.at)

No 121, Economics Series from Institute for Advanced Studies

Abstract: Bivariate time series data often show strong relationships between the two components, while both individual variables can be approximated by random walks in the short run andare obviously bounded in the long run. Three model classes are considered for a time-series model selection problem: stable vector autoregressions, cointegrated models, and globally stable threshold models. It is demonstrated how simulated decision maps help in classifying observed time series. The maps process the joint evidence of two test statistics: a canonical root and an LR--type specification statistic for threshold effects.

Keywords: Model selection; Bayes testing; Nonlinear time series models (search for similar items in EconPapers)
JEL-codes: C11 C15 C32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2002-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://irihs.ihs.ac.at/id/eprint/1453 First version, 2002 (application/pdf)

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