Threshold Autoregressions for Strongly Autocorrelated Time Series

@inproceedings{Lanne2000ThresholdAF,
  title={Threshold Autoregressions for Strongly Autocorrelated Time Series},
  author={Markku Lanne and Pentti Saikkonen},
  year={2000}
}
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 (TAR) process with the threshold effect only in the intercept term. Although these processes are stationary, their realizations switch between different regimes and can therefore closely resemble those of (near) integrated processes for sample sizes… CONTINUE READING