Estimation in threshold autoregressive models with a stationary and a unit root regime
Year of publication: |
2011-09
|
---|---|
Authors: | Gao, Jiti ; Tjøstheim, Dag ; Yin, Jiying |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Autoregressive process | null-recurrent process | semiparametric model | threshold time series | unit root structure |
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