Searching threshold effects in the inter
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Nilgun Cil Yavuz; Burak Guris; Veli Yilanci
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Article
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2007
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Elsevier Science
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English
⚖ 256 KB
This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555-1596] allows to simultaneously consider non