Yavuz, Nilgun Cil; Guris, Burak; Yilanci, Veli - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 2, pp. 621-627
This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555–1596] allows to simultaneously...
