SETAR model selection -- a bootstrap approach

DOI10.1007/BF02741315zbMath1091.62083MaRDI QIDQ2488425

John Öhrvik, Gabriella Shoier

Publication date: 24 May 2006

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

Akaike information criterionAICself-exciting threshold autoregressive time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items

Improved model selection criteria for SETAR time series models

Uses Software

• bootstrap

Cites Work

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• Sieve bootstrap for time series
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• Cross‐validation Criteria for Setar Model Selection
• Bootstrap Model Selection
• A threshold AR(1) model
• A multiple-threshold AR(1) model
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• Testing and Modeling Threshold Autoregressive Processes
• On blocking rules for the bootstrap with dependent data
• Strong consistency of conditional least squares estimators in multiple regime threshold autoregressive models