Estimation in threshold autoregressive models with nonstationarity [electronic resource] / Jiti Gao,...
Estimation in threshold autoregressive models with nonstationarity [electronic resource] / Jiti Gao, Dag Tjøstheim and Jiying Yin.
About this item
Full title
Author / Creator
Publisher
[Adelaide] : University of Adelaide, School of Economics, 2009.
Date
2009.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
[Adelaide] : University of Adelaide, School of Economics, 2009.
Series
Place of Publication
South Australia
Date Published
2009.
Subjects
More information
Scope and Contents
Summary
This paper proposes a class of new nonlinear threshold autoregressive models with both stationary and nonstationary regimes. Existing literature basically focuses on testing for a unit?root structure in a threshold autoregressive model. Under the null hypothesis, the model reduces to a simple random walk. Parameter estimation then becomes standar...
Alternative Titles
Full title
Estimation in threshold autoregressive models with nonstationarity [electronic resource] / Jiti Gao, Dag Tjøstheim and Jiying Yin.
Authors, Artists and Contributors
Author / Creator
Author / Artists
Notes
General note
Research paper / University of Adelaide, School of Economics ; no. 2009-25.
Title from title screen (viewed on Sept. 12, 2011)
Includes bibliographical references (p. 25-27)
System details note
Mode of access: Internet via World Wide Web. Address as at 12/09/2011: http://www.economics.adelaide.edu.au/research/papers/
System requirements: Adobe Acrobat reader to access the document in PDF.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VvKByZLR8b
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvKByZLR8b
Other Identifiers
DDC
519.536
MMS ID
991007959799702626
