Effects of filtering data on testing asymmetry in threshold autoregressive models

DOI10.1515/SNDE-2015-0016OpenAlexW2187533155MaRDI QIDQ2691680

Yanyan Li

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0016

zbMATH Keywords

simulationHodrick-Prescott filterthreshold autoregressionmoving average filterband pass filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Threshold models in non-linear time series analysis
• Testing for threshold autoregression
• Low frequency filtering and real business cycles
• Inference in TAR Models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Sample Splitting and Threshold Estimation
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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