Estimation in threshold autoregressive models with a stationary and a unit root regime

DOI10.1016/j.jeconom.2011.12.006zbMath1443.62256OpenAlexW3121404947MaRDI QIDQ528112

Jiying Yin, Dag Tjøstheim, J. T. Gao

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002047

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (13)

Uniform convergence of estimator for nonparametric regression with dependent data ⋮ Local composite quantile regression smoothing for Harris recurrent Markov processes ⋮ UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES ⋮ Unit root testing in presence of a double threshold process ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models ⋮ Testing nonstationary and absolutely regular nonlinear time series models ⋮ Fixed accuracy estimation of parameters in a threshold autoregressive model ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Functional-coefficient models for nonstationary time series data
• Estimation in semi-parametric regression with non-stationary regressors
• Time series analysis: Methods and applications
• Threshold models in non-linear time series analysis
• On non-stationary threshold autoregressive models
• On the least squares estimation of multiple-regime threshold autoregressive models
• Testing for threshold autoregression
• Nonparametric estimation in a nonlinear cointegration type model
• Specification testing in nonlinear and nonstationary time series autoregression
• Nonparametric estimation in null recurrent time series.
• Nonlinear time series. Nonparametric and parametric methods
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• The sequence of sums of independent random variables
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• NULL RECURRENT UNIT ROOT PROCESSES
• Structural Nonparametric Cointegrating Regression
• Nonlinear Time Series
• NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Nonlinear Regressions with Integrated Time Series
• Threshold Autoregression with a Unit Root
• Time Series Regression with a Unit Root
• Modelling Nonlinear Economic Time Series
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

This page was built for publication: Estimation in threshold autoregressive models with a stationary and a unit root regime