Threshold autoregressive models for interval-valued time series data

DOI10.1016/j.jeconom.2018.06.009zbMath1452.62681OpenAlexW2804432385WikidataQ129474488 ScholiaQ129474488MaRDI QIDQ1792454

Ai Han, Yongmiao Hong, Yuying Sun, Shou-Yang Wang

Publication date: 12 October 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.06.009

zbMATH Keywords

minimum distance estimationnonlinearityinterval-valued dataasymmetric reactionsymbolic datathreshold autoregressive interval models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Forecasting interval-valued crude oil prices using asymmetric interval models ⋮ Model averaging for interval-valued data ⋮ Brexit and its impact on the US stock market ⋮ Feature Screening for Interval-Valued Response with Application to Study Association between Posted Salary and Required Skills ⋮ Exploring long-memory process in the prediction of interval-valued financial time series and its application ⋮ Analysis of dependent data aggregated into intervals ⋮ Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya ⋮ Uncertainty shocks of Trump election in an interval model of stock market ⋮ Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

Uses Software

• SODAS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• A smoothed least squares estimator for threshold regression models
• Fuzzy statistical analysis of multiple regression with crisp and fuzzy covariates and applications in analyzing economic data of China
• A unified approach to asymptotic behaviors for the autoregressive model with fuzzy data
• Different approaches to forecast interval time series: a comparison in finance
• Markov chains and stochastic stability
• On the least squares estimation of multiple-regime threshold autoregressive models
• Constrained linear regression models for symbolic interval-valued variables
• Centre and range method for fitting a linear regression model to symbolic interval data
• Estimation of a simple linear regression model for fuzzy random variables
• A Markov model for switching regressions
• On the variance of fuzzy random variables
• On maximum likelihood estimators for a threshold autoregression
• Interval-valued time series models: estimation based on order statistics exploring the agriculture marketing service data
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Modeling and forecasting interval time series with threshold models
• Least squares estimation of linear regression models for convex compact random sets
• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• Symbolic data analysis: what is it?
• Modeling Interval Time Series with Space–Time Processes
• Introduction to Interval Analysis
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Bivariate symbolic regression models for interval-valued variables
• Symbolic Data Analysis and the SODAS Software
• KI 2004: Advances in Artificial Intelligence
• Asymmetric response and interaction of U.S. and local news in financial markets
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

This page was built for publication: Threshold autoregressive models for interval-valued time series data