Time-Varying Thresholds : An Application to Purchasing Power Parity /
This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit root...
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| Format: | Tidsskrift |
| Sprog: | English |
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Washington, D.C. :
International Monetary Fund,
2003.
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| Serier: | IMF Working Papers; Working Paper ;
No. 2003/181 |
| Online adgang: | Full text available on IMF |