Threshold integrated moving average models: does size matter? maybe so

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Show simple item record Martínez, Oscar Gonzalo, Jesús
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía 2012-11-30T14:19:26Z 2012-11-30T14:19:26Z 2003-01
dc.description.abstract The aim of this paper is to identify permanent and transitory shocks. This identification is done according to the size of the shocks or the size of some other important economic variable. In order to be able to carry this identification scheme on, we introduce a new class of threshold models: threshold integrated moving average models (TIMA). These are integrated models with a unit root in the moving average of one regime and an invertible moving average in the other regime. The former regime corresponds to transitory shocks,while the latter corresponds to permanent shocks. The paper analyzes the impulse response function generated by TIMA models and its invertibility. Consistency and asymptotic normality of least squares estimators are established and hypothesis tests for TIMA models are developed. The paper concludes with an application to exchange rates and stock market prices.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.subject.other Asymmetries
dc.subject.other Moving averaged models
dc.subject.other Permanent shock
dc.subject.other Persistence
dc.subject.other Threshold models
dc.subject.other Transitory shock
dc.title Threshold integrated moving average models: does size matter? maybe so
dc.type workingPaper
dc.subject.jel C22
dc.subject.jel C51
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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