Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

International Journal of Forecasting

Volumn 25, Issue 2, 2009, Pages 418-428

  Lahiani, A ^a   Scaillet, O ^b,c  

^a UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^b UNIVERSITY OF GENEVA   (Switzerland)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

Asymmetric time series; LM test; Threshold ARFIMA

Indexed keywords

EID: 61849135382     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.01.004     Document Type: Article

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