A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models
We estimate real U.S. GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. Specifically, standard- t , bootstrap- t , and bootstrap-percentile confidence intervals are simulated for the slope coefficients and the estimated threshold. However, the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods.
|Date of creation:||2006|
|Date of revision:||2006|
|Contact details of provider:|| Postal: 75 University Ave. West, Waterloo, Ontario, N2L 3C5|
Phone: (519) 884-0710 ext 2056
Fax: (519) 884-0201
Web page: http://www.wlu.ca/sbe/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wlu:wpaper:eg0052. 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: (Andrei Kovacsik)
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.