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Tests de linéarité, spécification et estimation de modèles à seuil : une analyse comparée des méthodes de Tsay et de Hansen

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  • Mélika Ben Salem
  • Corinne Perraudin

Abstract

This paper empirically studies threshold models and their application to time series. Threshold models are distinct in that they can generate different dynamics depending on the state of the economy. The non-linearity that they induce precludes the use of standard estimation methods. Linearity tests as opposed to the alternative threshold models in particular depend on unidentifiable nuisance parameters under the null hypothesis of linearity. The paper presents two different specification methods for threshold models and compares them based on size and power exercises. It then presents an application to GDP growth rates for eight OECD countries.

Suggested Citation

  • Mélika Ben Salem & Corinne Perraudin, 2001. "Tests de linéarité, spécification et estimation de modèles à seuil : une analyse comparée des méthodes de Tsay et de Hansen," Economie & Prévision, La Documentation Française, vol. 148(2), pages 157-176.
    • Handle: RePEc:cai:ecoldc:ecop_148_0157
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    Cited by:

    1. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    2. Ghosn, Sandra, 2014. "Le rôle de la psychologie dans les dynamiques de la production, des inégalités et de la redistribution," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14330 edited by Jacques, Jean-François.
    3. M’bakob Gilles Brice & Mandeng ma Ntamack Jules, 2024. "Influence of psychological exchange rates (PER) on forex price formation: theory, empirical, and experimental evidence," SN Business & Economics, Springer, vol. 4(9), pages 1-53, September.
    4. David Perrain & Philippe Jean-Pierre, 2020. "Tourisme et croissance économique dans les petites économies insulaires : à l'épreuve des modèles à seuil," Working Papers hal-02462562, HAL.
    5. Ntita Ntita, Jean & Ntanga Ntita, Jean de Dieu & Kazadi Ntita, François, 2017. "Investissement public et croissance économique en République Démocratique Du Congo [Public investment and economic growth in Democratic Republic of Congo]," MPRA Paper 92905, University Library of Munich, Germany, revised 2019.
    6. Abdenour, Redouan & Tounsi, Said, 2015. "Non-Linear Effects of Fiscal Policy on Economic Growth: Moroccan Case," MPRA Paper 69830, University Library of Munich, Germany, revised 2016.
    7. Jinzhao Chen, 2012. "Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation," PSE Working Papers halshs-00660654, HAL.
    8. Gnegne, Yacouba & Jawadi, Fredj, 2013. "Boundedness and nonlinearities in public debt dynamics: A TAR assessment," Economic Modelling, Elsevier, vol. 34(C), pages 154-160.
    9. Remzi Uctum, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482.
    10. J-P.Guironnet, 2006. "Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
    11. Karim Azizi, 2007. "Inequality and convergence clubs: results from a threshold regression model [Inégalités et clubs de convergence : les résultats d'un modèle à seuil]," Post-Print halshs-00180955, HAL.

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