Searching for Threshold Effects in the Evolution of Budget Deficits: An Application to the Spanish Case
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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8633, Universite de Montreal, Departement de sciences economiques.
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