Model selection in threshold models
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Recommendations
- Bayesian selection of threshold autoregressive models
- SETAR model selection -- a bootstrap approach
- Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
- Cross-validation criteria for SETAR model selection
- Selecting nonlinear time series models using information criteria
Cited in
(43)- Residual Ratio Thresholding for Linear Model Order Selection
- Testing for sign and amplitude asymmetries using threshold autoregressions
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- Information criteria for nonlinear time series models
- Model diagnosis for SETAR time series
- Systematic small sample bias in two regime SETAR model estimation
- On using fuzzy clustering for detecting the number of states in Markov switching models
- Nested sub-sample search algorithm for estimation of threshold models
- The moments of SETARMA models
- Cross-validation criteria for SETAR model selection
- ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
- A nonlinear long memory model, with an application to US unemployment.
- Modified information criteria and selection of long memory time series models
- Nonlinear models for strongly dependent processes with financial applications
- Consistent estimation of the number of regimes in Markov-switching autoregressive models
- Fiscal policy in good and bad times
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Predictor distribution and forecast accuracy of threshold models
- Hysteretic autoregressive time series models
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- Asymptotic theory on the least squares estimation of threshold moving-average models
- On the least squares estimation of multiple-regime threshold autoregressive models
- Linear approximation of the threshold autoregressive model: an application to order estimation
- A nonlinear panel data model of cross-sectional dependence
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models
- An alternative sequential method for the state estimation of a partially observed SETAR(1) process
- Frequentist model averaging for threshold models
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Self Exciting Threshold Autoregressive Models for Describing Cyclical Data
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
- Multivariate contemporaneous-threshold autoregressive models
- Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
- A model selection method for S‐estimation
- Threshold Selection in Feature Screening for Error Rate Control
- Improved model selection criteria for SETAR time series models
- A transitional Markov switching autoregressive model
- Bayesian selection of threshold autoregressive models
- Model Selection Uncertainty and Detection of Threshold Effects
- scientific article; zbMATH DE number 1759579 (Why is no real title available?)
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Selecting nonlinear time series models using information criteria
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