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Wilfrid Laurier University Leaf
March 27, 2015

Canadian Excellence

Pierre Siklos


email: Pierre Siklos
phone: 226.772.3159 BSIA


Pierre Siklos

2006-06: EC A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models (working paper)

P. Siklos, W. Enders & B. Falk

published: 2006 | Research publication | Working Paper - Economics

ABSTRACT: We estimate real U.S. 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. Specifically, standard- t , bootstrap- t , and bootstrap-percentile confidence intervals are simulated for the slope coefficients and the estimated threshold. However, the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods.

Download: PDF (463k) E_F_S_12_2006.pdf

revised Mar 6/07

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