Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples

DOI10.1515/SNDE-2016-0084MaRDI QIDQ2691737zbMATH OpenOpenAlexFDO

Authors Luiggi Donayre, Yunjong Eo, James Morley

Publication date 30 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2016-0084

zbMATH Keywords

confidence intervalfinite-sample inferenceinverted likelihood ratiothreshold regression

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Applications of statistics to economics (62P20)

Cites work

• A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Inference in TAR Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Threshold models in time series analysis -- 30 years on

Cited in

(2)

• A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators
• Likelihood-ratio-based confidence intervals for multiple threshold parameters

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