Likelihood-ratio-based confidence intervals for multiple threshold parameters

DOI10.1515/SNDE-2023-0029MaRDI QIDQ6905359zbMATH OpenFDO

Authors Luiggi Donayre

Publication date 6 November 2025

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

Full work available at URL https://doi.org/10.1515/SNDE-2023-0029

zbMATH Keywords

confidence intervalslikelihood ratioMonte Carlo simulationsmultiple-regime threshold regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A note on the geometric ergodicity of a Markov chain
• 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
• Estimation and model selection based inference in single and multiple threshold models.
• Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
• Inference in TAR Models
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• On the least squares estimation of multiple-regime threshold autoregressive models
• Outliers and persistence in threshold autoregressive processes
• Sample Splitting and Threshold Estimation

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