Model selection in threshold models
The author considers self-exciting threshold autoregressive (SETAR) and Markov-switching models with two regimes. In the SETAR model, the time series is described by the equation \[ y_t=\phi_{j,0}+\phi_{j,1} y_{t-1}+\dots+\phi_{j,p}y_{t-p}+\sigma_j\varepsilon_t, \] where \(\varepsilon_j\) are i.i.d. Gaussian, and \(j\) is the number of the regimes. The process is in the regime \(j\) at time \(t\) if \(r_{j-1}\leq y_{t-d}\leq r_j\), \(d\) being an integer-valued delay parameter, and \(r_k\) are fixed thresholds. For two regimes, in SETAR models only one threshold \(r_1=r\) is needed. The parameter \(d\) is assumed known. For a fixed autoregression order \(p\) the other parameters can be estimated by the least squares technique. The problem is to estimate \(p\). The author considers general information criteria for this purpose (including a generalized information criterion and an information complexity criterion) and derives consistency results for the obtained estimators. Small sample properties of the estimators are studied via Monte Carlo simulations.
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- Testing for sign and amplitude asymmetries using threshold autoregressions
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