Estimation in threshold autoregressive models with a stationary and a unit root regime |
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| Authors: | Jiti Gao,Dag Tjø stheim,Jiying Yin |
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| Affiliation: | 1. School of Economics, University of Adelaide, Adelaide SA 5005, Australia;2. Department of Econometrics and Business Statistics, Monash University, Caulfield East VIC 3145, Australia;3. Department of Mathematics, University of Bergen, Bergen 5008, Norway |
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| 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. |
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