Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity

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dc.contributor.author Cancelo, José Ramón
dc.contributor.author Espasa, Antoni
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2009-11-26T15:02:11Z
dc.date.available 2009-11-26T15:02:11Z
dc.date.issued 1991-02
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/5811
dc.description.abstract This paper develops a methodology to model non-linear dynamic relationships. The non-linear functions are approached by the inclusion of threshold variables in an iterative forward search process which allows for different lenghts of the response functions to impulses at different intervals of the explanatory variables. The paper includes an application of these methods to the forecasting of the daily consumption of electricity as a function of temperature in Spain.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers
dc.relation.ispartofseries 91-05
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other ARMAX models
dc.subject.other Model specification
dc.subject.other Electricity consumption
dc.title Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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