Transnational Terrorism 1968‐2000: Thresholds, Persistence, and Forecasts

Abstract

This article applies a threshold autoregression (TAR) model to a casualties time series to show that the autoregressive nature of such events depends on the level of terrorism at the time of a shock. Following a shock, persistence of heightened attacks characterizes low‐terrorism regimes, but not high‐terrorism regimes. Similar findings are associated with incidents with deaths, bombings with deaths, and hostage‐taking. In contrast, the assassinations series indicates some persistence even in the high‐terrorism state, whereas the threats/hoaxes series displays persistence in only the high‐terrorism state. For all series studied, the TAR model outperforms a standard autoregressive representation. A forecasting method is engineered based on the TAR estimates and nicely tracks resource‐using events.