Theory and Applications of TAR Model with Two Threshold Variables

DOI10.1080/07474938.2011.607100zbMath1491.62152OpenAlexW2156091088MaRDI QIDQ5080144

Terence Tai-Leung Chong, Jushan Bai, Hai-Qiang Chen

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/54527/1/MPRA_paper_54527.pdf

zbMATH Keywords

likelihood ratio testmisspecificationbootstrappingthreshold autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Related Items (10)

Dynamic panels with threshold effect and endogeneity ⋮ Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution ⋮ Unnamed Item ⋮ Endogeneity in semiparametric threshold regression models with two threshold variables ⋮ Panel data models with two threshold variables ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ Estimation and inference of threshold regression models with measurement errors ⋮ Bayesian subset selection for two-threshold variable autoregressive models ⋮ Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules ⋮ Empirical likelihood test for the application of swqmele in fitting an arma‐garch model

Cites Work

• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Threshold models in non-linear time series analysis
• Estimation and model selection based inference in single and multiple threshold models.
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• STRUCTURAL CHANGE IN AR(1) MODELS
• Inference in TAR Models
• Generic consistency of the break-point estimators under specification errors in a multiple-break model
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Generic consistency of the break‐point estimator under specification errors
• Sample Splitting and Threshold Estimation
• Threshold Autoregression with a Unit Root
• Functional-Coefficient Autoregressive Models
• Testing and Modeling Threshold Autoregressive Processes
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

This page was built for publication: Theory and Applications of TAR Model with Two Threshold Variables