Forecasting with univariate TAR models

DOI10.1016/j.stamet.2007.09.002zbMath1248.62165OpenAlexW1967410375MaRDI QIDQ713837

Fabio H. Nieto

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2007.09.002

zbMATH Keywords

predictive distributionsnonlinear time seriesregime-switching modelsthreshold-autoregressive models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models ⋮ Forecasting with Multivariate Threshold Autoregressive Models

Cites Work

• Markov chains and stochastic stability
• On forecasting SETAR processes
• Forecasting the U.S. Unemployment Rate
• Testing and Modeling Multivariate Threshold Models
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
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