Theshold Autoregressive Model
|Philippines||PFINC (t > Z) (1)||-0.100||0.028||Q(6) = 4.091|
|SETBANK (t > Z) (1)||-0.029||0.014|
|Thailand||SETFIN(t>Z) (1)||-0.666||0.016||Q(6) = 9.198|
All variables are in the form of log and the first difference. The autocorrelation is tested by the Ljung-Box method and the test statistics are reported under Q-statistics. The general specification of the threshold autoregression can be expressed as follow:The Z is defined in the text and equals the beginning of the currency crisis.