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Searching for threshold effects in the evolution of budget deficits: an application to the Spanish case

  • Bajo-Rubio, Oscar
  • Diaz-Roldan, Carmen
  • Esteve, Vicente

In this paper we use recent developments on threshold autoregressive (TAR) models that allow us to derive endogenously threshold effects in the evolution of the Spanish budget deficit. Specifically, a mean-reverting dynamic behaviour of the budget deficit should be expected once such threshold is reached.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4B8528W-9/2/d96dece7d9a22c50fea1932a8018d85a
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 82 (2004)
Issue (Month): 2 (February)
Pages: 239-243

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Handle: RePEc:eee:ecolet:v:82:y:2004:i:2:p:239-243
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Bertola, G. & Drazen, A., 1991. "Trigger Pointsand Budget Cuts ; Explaining the Effects of Fiscal Austerity," Papers 26-91, Tel Aviv.
  2. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  3. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
  4. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  5. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  6. Alberto F. Alesina & Roberto Perotti, 1999. "Budget Deficits and Budget Institutions," NBER Chapters, in: Fiscal Institutions and Fiscal Performance, pages 13-36 National Bureau of Economic Research, Inc.
  7. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  8. Giavazzi, Francesco & Jappelli, Tullio & Pagano, Marco, 2000. "Searching for Non-Linear Effects of Fiscal Policy: Evidence from Industrial and Developing Countries," CEPR Discussion Papers 2374, C.E.P.R. Discussion Papers.
  9. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
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