Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059604 | Economics Letters | 2013 | 5 Pages |
Abstract
This paper proposes an extension to threshold-type switching models that lets the threshold variable be a linear combination of exogenous variables with unknown coefficients. An algorithm to estimate the model's parameters by least squares is provided and the validity of the methodological framework is assessed by a Monte Carlo study. The empirical usefulness of the proposed specification is illustrated by an application to US stock returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Daniele Massacci,