IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Threshold Autoregression for Strongly Autocorrelated Time Series

  • Lanne, M.
  • Saikkonen, P.

In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive process with the threshold effect only in the intercept term. Although these proceses are stationary, their realizations can closely resemble those of integrated processes for sample sizes relevant in many economic applications. Estimation and inference of these TAR models are discussed, and a specification test for testing their stability is derived. Testing is based on the idea that if integratedness is really caused by level shifts, the series pruged of these shifts should be stable so that known stationarity tests can be applied to this series. Simulation results indicate that in certain cases this test like several linearity tests can have low power. The proposed model is applied to interest rate data.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Department of Economics in its series University of Helsinki, Department of Economics with number 489.

as
in new window

Length: 26 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:helsec:489
Contact details of provider: Postal: University of Helsinki; Department of Economics, P.O.Box 54 (Unioninkatu 37) FIN-00014 Helsingin Yliopisto
Phone: +358 9 191 8897
Fax: +358 9 191 8877
Web page: http://www.helsinki.fi/politiikkajatalous/Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fth:helsec:489. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.