Decision Maps for Bivariate Time Series with Potential Threshold Cointegration

Kunst, Robert M. (September 2002) Decision Maps for Bivariate Time Series with Potential Threshold Cointegration. IHS Economics Series 121

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Abstract or Table of Contents

Abstract: Bivariate time series data often show strong relationships between the two components, while both individual variables can be approximated by random walks in the short run andare obviously bounded in the long run. Three model classes are considered for a time-series model selection problem: stable vector autoregressions, cointegrated models, and globally stable threshold models. It is demonstrated how simulated decision maps help in classifying observed time series. The maps process the joint evidence of two test statistics: a canonical root and an LR--type specification statistic for threshold effects.;

Item Type: IHS Series
Keywords: 'Model selection' 'Bayes testing' 'Nonlinear time series models'
Classification Codes (e.g. JEL): C11, C18, C32
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 26 Jul 2017 09:09
URI: http://irihs.ihs.ac.at/id/eprint/1453

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