Contemporaneous threshold autoregressive models: estimation, testing and forecasting

DOI10.1016/j.jeconom.2006.10.022zbMath1418.62315OpenAlexW3125984125MaRDI QIDQ289169

Michael J. Dueker, Martin Sola, Fabio Spagnolo

Publication date: 27 May 2016

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

Full work available at URL: https://www.utdt.edu/download.php?fname=_125209197117759800.pdf

zbMATH Keywords

nonlinear modelsforecastingsmooth transition threshold autoregressive

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) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)

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