Lahiani, A.; Scaillet, O. - In: International Journal of Forecasting 25 (2009) 2, pp. 418-428
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or fractional integration...