Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
ContributorsLahiani, A.; Scaillet, Olivier

Published inInternational journal of forecasting, vol. 25, no. 2, p. 418-428
Publication date2009
Abstract
Keywords
- Threshold ARFIMA
- LM test
- Asymmetric time series
Affiliation
Research group
Citation (ISO format)
LAHIANI, A., SCAILLET, Olivier. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data. In: International journal of forecasting, 2009, vol. 25, n° 2, p. 418–428. doi: 10.1016/j.ijforecast.2009.01.004
Main files (1)
Article (Accepted version)

Identifiers
- PID : unige:79876
- DOI : 10.1016/j.ijforecast.2009.01.004
ISSN of the journal0169-2070