A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models

P. Siklos, W. Enders & B. Falk ()
Additional contact information
P. Siklos, W. Enders & B. Falk: Wilfrid Laurier University, https://www.pierrelsiklos.com/
Authors registered in the RePEc Author Service: Pierre Siklos and Walter Enders

Working Papers from Wilfrid Laurier University, Department of Economics

Abstract: We estimate real U.S. GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. Specifically, standard- t , bootstrap- t , and bootstrap-percentile confidence intervals are simulated for the slope coefficients and the estimated threshold. However, the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods.

Keywords: Bootstrap GDP; Threshold Autoregression; Bootstrap Confidence Intervals (search for similar items in EconPapers)
JEL-codes: C12 C22 E17 (search for similar items in EconPapers)
Pages: 36
Date: 2006, Revised 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
https://web.wlu.ca/repec/Working%20papers/2006/E_F_S_12_2006.pdf (application/pdf)

Related works:
Journal Article: A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wlu:wpaper:eg0052

Access Statistics for this paper

More papers in Working Papers from Wilfrid Laurier University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Glen Stewart ( this e-mail address is bad, please contact ).