Threshold Autoregressive Model for a Time Series Data

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Threshold Autoregressive Model for a Time Series Data

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Title: Threshold Autoregressive Model for a Time Series Data
Author: Kesavan Nampoothiri, C; Balakrishna, N
Abstract: In this paper we try to fit a threshold autoregressive (TAR) model to time series data of monthly coconut oil prices at Cochin market. The procedure proposed by Tsay [7] for fitting the TAR model is briefly presented. The fitted model is compared with a simple autoregressive (AR) model. The results are in favour of TAR process. Thus the monthly coconut oil prices exhibit a type of non-linearity which can be accounted for by a threshold model.
URI: http://dyuthi.cusat.ac.in/purl/2858
Date: 2000


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