A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
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We estimate real US GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. We construct confidence intervals for the slope coefficients and the threshold using asymptotic results and bootstrap methods, finding that the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods. Surprisingly, the confidence intervals are wide enough to cast doubt on the assertion that the time-series responses of GDP to negative growth rates are different than the responses to positive growth rates.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Articles in the same Issue
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- Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
- Detecting Multiple Changes in Persistence
- Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
- Wavelet Variance Analysis of Output in G-7 Countries
Articles in the same Issue
- Article
- Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
- Detecting Multiple Changes in Persistence
- Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
- Wavelet Variance Analysis of Output in G-7 Countries
