Lanne, Markku; Saikkonen, Pentti - In: Journal of Business & Economic Statistics 20 (2002) 2, pp. 282-89
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...
