Inference in TAR Models
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Cited in
(64)- Factor-driven two-regime regression
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- A Bayesian threshold nonlinearity test for TAR models
- Information criteria for nonlinear time series models
- Estimation and asymptotic inference in the AR-ARCH model
- Subsampling inference in threshold autoregressive models
- Asymmetries in the monetary policy reaction function: evidence from India
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Panel data models with two threshold variables
- Aggregate consumption spending, the stock market and asymmetric error correction
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
- A nonlinear long memory model, with an application to US unemployment.
- Testing linearity against threshold effects: uniform inference in quantile regression
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Applications of regime-switching models based on aggregation operators
- Endogeneity in threshold nonlinearity tests
- Stacking-based neural network for nonlinear time series analysis
- Tests for TAR models vs. star models -- a separate family of hypotheses approach
- scientific article; zbMATH DE number 7578275 (Why is no real title available?)
- Estimation of generalized threshold autoregressive models
- Efficient estimation in semiparametric self-exciting threshold INAR processes
- Threshold quantile autoregressive models
- Effects of filtering data on testing asymmetry in threshold autoregressive models
- Heterogeneity in stock prices: a STAR model with multivariate transition function
- State-dependent effects of fiscal policy
- Outliers and persistence in threshold autoregressive processes
- Quasi-likelihood estimation of a threshold diffusion process
- On the least squares estimation of multiple-regime threshold autoregressive models
- Another approach for the asymptotic properties of threshold vector ARMA models
- Asymptotic inference in multiple-threshold double autoregressive models
- LASSO estimation of threshold autoregressive models
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- Inference after estimation of breaks
- Estimation and model selection based inference in single and multiple threshold models.
- On nonlinear TAR processes and threshold estimation
- Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
- Maximum likelihood estimation of dynamic panel threshold models
- Statistical Inference for Structurally Changed Threshold Autoregressive Models
- A robust algorithm for parameter estimation in smooth transition autoregressive models
- Modeling and forecasting interval time series with threshold models
- Misspecified structural change, threshold, and Markov-switching models.
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Sample Splitting and Threshold Estimation
- Using threshold autoregressive models to study dyadic interactions
- Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
- Threshold autoregressive individuals control charts
- Likelihood-ratio-based confidence intervals for multiple threshold parameters
- Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
- Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach
- Identification of TAR models using recursive estimation
- Temporal clustering of time series via threshold autoregressive models: application to commodity prices
- Estimation in threshold autoregressive models with correlated innovations
- On parameter estimation of threshold autoregressive models
- Forecasting the US unemployment rate
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
- Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
- Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- On non-stationary threshold autoregressive models
- Theory and applications of TAR model with two threshold variables
- Weighted-averaging estimator for possible threshold in segmented linear regression model
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
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