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Please use this identifier to cite or link to this item:
http://purl.org/purl/2858
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| Title: | Threshold Autoregressive Model for a Time Series Data |
| Authors: | Kesavan Nampoothiri,C
Balakrishna, N |
| Keywords: | Autocorrelation functions
Coconut oil
Threshold autoregressive model |
| Issue Date: | 2000 |
| Publisher: | Jour. Ind. Soc. Ag. Statistics |
| 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 |
| Appears in Collections: | Dr.N. Balakrishna
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