Are apparent findings of nonlinearity due to structural instability in economic time series?
研究了宏观经济时间序列的非线性特征是否由结构不稳定性导致，采用贝叶斯方法进行模型比较，实证表明阈值型非线性可能源于结构变化。
Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive model) or whether they merely reflect changing structure over time. In this paper, we discuss a model comparison methodology which addresses these issues. We advocate a Bayesian approach and show how such an approach can be implemented in practice. An empirical exercise involving several macroeconomic time series shows that apparent findings of threshold type nonlinearities could be due to structural instability.