Contemporaneous threshold autoregressive models: estimation, testing and forecasting
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Cites work
- scientific article; zbMATH DE number 3990600 (Why is no real title available?)
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 1243473 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
- A floor and ceiling model of US output
- Estimation and model selection based inference in single and multiple threshold models.
- Forecasting with smooth transition autoregressive models
- Geometric equivalence of groups.
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Model selection in threshold models
- Nonlinear interest rate dynamics and implications for the terms structure
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
- On forecasting SETAR processes
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Testing and Modeling Threshold Autoregressive Processes
- Testing linearity against smooth transition autoregressive models
- The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
- Threshold models in non-linear time series analysis
Cited in
(15)- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Bayesian inference for order determination of double threshold variables autoregressive models
- Bootstrap order selection for SETAR models
- Modeling and forecasting interval time series with threshold models
- An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
- Testing for observation-dependent regime switching in mixture autoregressive models
- A mixture autoregressive model based on Student’s t–distribution
- Selecting nonlinear time series models using information criteria
- Multivariate contemporaneous-threshold autoregressive models
- Forecasting with Multivariate Threshold Autoregressive Models
- Forecasting with smooth transition autoregressive models
- Multi-regime models for nonlinear nonstationary time series
- Theory and applications of TAR model with two threshold variables
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Gaussian mixture vector autoregression
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