A sequential procedure for determining the number of regimes in a threshold autoregressive model

DOI10.1111/J.1368-423X.2006.00194.XzbMath1106.62091MaRDI QIDQ3422395

Timo Teräsvirta, Birgit Strikholm

Publication date: 13 February 2007

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

zbMATH Keywords

switching regressionsimulationsmodel specificationnonlinear modellingsequential testingmodel selection criterionSTAR-approximationUS civilian unemployment series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (5)

Asymptotic theory for regressions with smoothly changing parameters ⋮ An elementary approach to dynamics and bifurcations of skew tent maps ⋮ Fitting piecewise linear continuous functions ⋮ Adaptive signal processing of asset price dynamics with predictability analysis ⋮ Using threshold autoregressive models to study dyadic interactions

Cites Work

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• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Testing the adequacy of smooth transition autoregressive models
• Estimation and model selection based inference in single and multiple threshold models.
• Inference in TAR Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Sample Splitting and Threshold Estimation
• Threshold Autoregression with a Unit Root
• Testing and Modeling Threshold Autoregressive Processes
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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