Numerical issues in threshold autoregressive modeling of time series

DOI10.1016/S0165-1889(02)00123-9zbMath1180.65011OpenAlexW2163451438MaRDI QIDQ951427

Jerry Coakley, Ana-María Fuertes, María-Teresa Pérez

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00123-9

zbMATH Keywords

Monte Carlorational interpolationleast squares problemsfitting methodQR factorizationgivens rotationsthreshold autoregressive time series

Mathematics Subject Classification ID

Related Items (5)

LASSO estimation of threshold autoregressive models ⋮ Quasi-likelihood estimation of a threshold diffusion process ⋮ Systematic small sample bias in two regime SETAR model estimation ⋮ Testing for sign and amplitude asymmetries using threshold autoregressions ⋮ On the least squares estimation of multiple-regime threshold autoregressive models

Cites Work

• Threshold models in non-linear time series analysis
• A floor and ceiling model of US output
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• Testing and Modeling Threshold Autoregressive Processes
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