Knight, John; Satchell, Stephen; Srivastava, Nandini - Birkbeck, Department of Economics, Mathematics & Statistics - 2012
The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we...