Estimation in threshold autoregressive models with a stationary and a unit root regime

This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models has basically focused on models where the nonstationarity can be removed by differencing and/or where the threshold variable is stationary. This is not the case for the process we consider, and nonstandard estimation problems are the result.

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Year of publication:	2013
Authors:	Gao, Jiti ; Tjøstheim, Dag ; Yin, Jiying
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 172.2013, 1, p. 1-13
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011052320