Subsampling inference in threshold autoregressive models

DOI10.1016/J.JECONOM.2004.08.004zbMath1335.62134OpenAlexW2111007689WikidataQ60962278 ScholiaQ60962278MaRDI QIDQ262833

F. Blanchet-Sadri, M. Dambrine

Publication date: 30 March 2016

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

Full work available at URL: http://hdl.handle.net/10016/3218

zbMATH Keywords

continuityconfidence intervalsregime shiftssubsamplingthreshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Markov processes: hypothesis testing (62M02)

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Cites Work

• Unnamed Item
• Subsampling
• Mixing: Properties and examples
• Large sample confidence regions based on subsamples under minimal assumptions
• 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
• Sample Splitting and Threshold Estimation

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