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Threshold Models for Trended Time Series

By George Kapetanios

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

Topics: Classification-JEL: C22, C53, Nonlinearity, Threshold models, EDTAR models, Forecasting
Publisher: Faculty of Economics
Year: 2004
OAI identifier: oai:www.repository.cam.ac.uk:1810/416
Provided by: Apollo

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