A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models

DOI10.2202/1558-3708.1322zbMath1268.91129OpenAlexW3125342165MaRDI QIDQ5452780

Barry L. Falk, Walter Enders, Pierre L. Siklos

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1322

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Outliers and persistence in threshold autoregressive processes ⋮ Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples ⋮ Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship ⋮ Corrected confidence intervals for parameters in adaptive linear models

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