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Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity

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  • Cancelo, José Ramón
  • Espasa, Antoni

Abstract

This paper develops a methodology to model non-linear dynamic relationships. The non-linear functions are approached by the inclusion of threshold variables in an iterative forward search process which allows for different lenghts of the response functions to impulses at different intervals of the explanatory variables. The paper includes an application of these methods to the forecasting of the daily consumption of electricity as a function of temperature in Spain.

Suggested Citation

  • Cancelo, José Ramón & Espasa, Antoni, 1991. "Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity," UC3M Working papers. Economics 5811, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:5811
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    Cited by:

    1. Espasa, Antoni & Cancelo, José Ramón & Revuelta, J. Manuel, 1996. "Automatic modelling of daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3356, Universidad Carlos III de Madrid. Departamento de Estadística.

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    ARMAX models;

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