Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples

DOI10.1515/snde-2016-0084OpenAlexW3121332811MaRDI QIDQ2691737

Luiggi Donayre, Yunjong Eo, James C. Morley

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-2016-0084

zbMATH Keywords

confidence intervalthreshold regressionfinite-sample inferenceinverted likelihood ratio

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25)

Cites Work

• Threshold models in time series analysis -- 30 years on
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Inference in TAR Models
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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