Global ETD Search
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Showing 1 to 11 of 11 for “"threshold autoregressive"”.
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Investigating threshold effects of public debt on economic growth for Zambia (1980 - 2015).
… economic growth. This implies that there is a threshold value of debt, beyond which, debt accumulation will negatively affect economic growth. This paper sought to contribute to existing literature by investigating the existence of a Laffer curve relationship between debt and economic growth in …
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Investigating threshold effects of public debt on economic growth for Zambia (1980 - 2015).
… economic growth. This implies that there is a threshold value of debt, beyond which, debt accumulation will negatively affect economic growth. This paper sought to contribute to existing literature by investigating the existence of a Laffer curve relationship between debt and economic growth in …
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Three essays on spatial, vertical price transmission and asymmetric supply response in livestock sectors
… co-integration tests are conducted. In addition, threshold autoregressive (TAR) model and momentum threshold autoregressive (M-TAR) model, and asymmetric (or symmetric) error correction model (ECM) are estimated to examine the patterns of price adjustment. The findings indicate that the all pairs …
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Modeling and Forecasting Ghana's Inflation Rate Under Threshold Models
… rate in Ghana using linear models such as Autoregressive Integrated Moving Average (ARIMA), Autoregressive Moving Average (ARMA) and Moving Average (MA). Empirical research however, has shown that financial data, such as inflation rate, does not follow linear patterns. This study seeks to …
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Threshold cointegration test of the Fisher effect
… rate and the inflation rate under a nonlinear threshold autoregressive model, and it seems a unit root can not be rejected for most of countries under our study. Second, a two-stage threshold cointegration analysis has been applied to test for the presence of nonlinearity in the long-term …
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Modeling nonlinear, nonstationary, vector time series : methods and applications.
… of nonlinear time series models: Momentum threshold autoregressive and functional coefficient autoregressive models. These models are then extended to vector time series. We illustrate utility by applying the models to real data examples in geology and photovoltaics, respectively. The …
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Non-linear aspects of financial integration: An analysis of the real interest rate parity for Southeast Asian economies
… are evaluated through a modified Band-Threshold Autoregressive model. In this framework, constraints to financial integration determine the degree of interdependence between real interest rates. If the deregulation process was effective in promoting a greater financial integration, this …
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Essays on Econometric Models of Relative Prices
… mean reversion, such as the smooth transition autoregressive model, present a resolution to the purchasing power parity puzzle (see Rogoff, 1996). A key contribution of this paper is the development of a method of estimating a representative distribution of half lives which is based upon the …
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Opening the reserves floodgates: The SARB's new excess reserve system and its impact on the South African banking system
… the shift to an excess reserves system while a Threshold Autoregressive (TAR) Model was used to evaluate the dynamics between excess reserves, the Jibar-repo spread and credit extension to the domestic economy. The research comprises of monthly time-series data from the period January 2000 up to …
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Market Efficiency of African Stock Markets
… returns under a nonlinear Exponential Smooth Threshold Autoregressive (ESTAR) model was examined. A nonlinear ADF unit root test against ESTAR and a modified Wald-type test against ESTAR in the analysis were employed. Fourth, the self-exciting threshold Autoregressive (SETAR) method was …
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Directionality in time series and its applications
A suite of seven statistics to detect directionality in time series is presented. Applications from various disciplines including business, environmental science, finance and medicine are considered. Models that allow for directionality are proposed, and methods of fitting these models are …