Abstract

http://ssrn.com/abstract=1311866
 
 

References (38)



 


 



Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data


Amine Lahiani


Université Paris Ouest - Nanterre, La Défense - EconomiX

O. Scaillet


University of Geneva - HEC; Swiss Finance Institute

December 4, 2008

Swiss Finance Institute Research Paper No. 08-42

Abstract:     
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional integration parameters, and can be tested for using LM tests. Monte Carlo experiments show the desirable finite sample size and power of the test with an exact maximum likelihood estimator of the long memory parameter. Simulations also show that a model selection strategy is available to discriminate between the competing threshold ARFIMA models. The methodology is applied to US unemployment rate data where we find a significant threshold effect in the ARFIMA representation and a better forecasting performance over TAR and symmetric ARFIMA models.

Number of Pages in PDF File: 21

Keywords: Threshold ARFIMA, LM test, Asymmetric time series

JEL Classification: C12, C13, C22

working papers series





Download This Paper

Date posted: December 9, 2008 ; Last revised: December 23, 2008

Suggested Citation

Lahiani, Amine and Scaillet , O., Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data (December 4, 2008). Swiss Finance Institute Research Paper No. 08-42. Available at SSRN: http://ssrn.com/abstract=1311866 or http://dx.doi.org/10.2139/ssrn.1311866

Contact Information

Amine Lahiani
Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )
200 Avenue de la République
Nanterre cedex, Nanterre Cedex 92000
France
Olivier Scaillet (Contact Author)
University of Geneva - HEC ( email )
40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
Swiss Finance Institute
40, Boulevard du Pont-d'Arve
Case Postale 3
1211 Geneva 4, CH-6900
Switzerland
Feedback to SSRN


Paper statistics
Abstract Views: 1,188
Downloads: 205
Download Rank: 87,356
References:  38

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.312 seconds