Small sample properties of the conditional least squares estimator in SETAR models
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Publication:1583393
DOI10.1016/S0165-1765(00)00314-1zbMath0954.91044MaRDI QIDQ1583393
Publication date: 26 October 2000
Published in: Economics Letters (Search for Journal in Brave)
Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)
Related Items (10)
Nonlinear models for strongly dependent processes with financial applications ⋮ Systematic small sample bias in two regime SETAR model estimation ⋮ A variable addition test for exogeneity in structural threshold models ⋮ Least squares estimation of large dimensional threshold factor models ⋮ Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use ⋮ Testing for sign and amplitude asymmetries using threshold autoregressions ⋮ Modeling structural breaks in economic relationships using large shocks ⋮ TESTING FOR EXOGENEITY IN THRESHOLD MODELS ⋮ A note on the consistency of a robust estimator for threshold autoregressive processes ⋮ Improved bootstrap prediction intervals for SETAR models
Cites Work
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- Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
- A floor and ceiling model of US output
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Testing and Modeling Threshold Autoregressive Processes
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