Threshold Models for Trended Time Series
نویسندگان
چکیده
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 speci cation of the empirical econometric models. Estimation and testing issues are considered and analysed. Additionally we apply the models to the empirical investigation of U.S. GDP. The results are encouraging and warranty further research.
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