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

A-Tier
Journal: Journal of Econometrics
Year: 2013
Volume: 172
Issue: 1
Pages: 1-13

Authors (3)

Gao, Jiti (Monash University) Tjøstheim, Dag (not in RePEc) Yin, Jiying (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:econom:v:172:y:2013:i:1:p:1-13
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25