ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-9892.1986.TB00501.XMaRDI QIDQ3729867zbMATH OpenOpenAlexFDO

Authors Kung-Sik Chan, Howell Tong

Publication date 1986

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1986.tb00501.x

zbMATH Keywords

change pointconditional least-squares estimateconsistencynon-linear time seriesnormalitysmoothnessthreshold autoregressive modelthreshold parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• On parameter estimation of threshold autoregressive models
• scientific article; zbMATH DE number 58259
• scientific article; zbMATH DE number 775746
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Testing and Modeling Threshold Autoregressive Processes

Cites work

• A threshold AR(1) model
• An efficient method for finding the minimum of a function of several variables without calculating derivatives
• Estimating the transition between two intersecting straight lines
• scientific article; zbMATH DE number 3535521 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• scientific article; zbMATH DE number 3333814 (Why is no real title available?)
• On asymptotic distribution theory in segmented regression problems - identified case
• On conditional least squares estimation for stochastic processes
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate
• The log likelihood ratio in segmented regression
• Threshold models in non-linear time series analysis

Cited in

(only showing first 100 items - show all)

• A note on the consistency of a robust estimator for threshold autoregressive processes
• Absorption of shocks in nonlinear autoregressive models
• Tree-structured smooth transition regression models
• Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
• Estimation and inference for exponential smooth transition nonlinear volatility models
• Qualitative threshold ARCH models
• Nonparametric vector autoregression
• Testing multiple equation systems for common nonlinear components
• Stability of nonlinear AR(1) time series with delay
• Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
• The univariate MT-STAR model and a new linearity and unit root test procedure
• Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds
• Asymptotic theory for regressions with smoothly changing parameters
• European exchange trading funds trading with locally weighted support vector regression
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Chaotic dynamics of a piecewise linear model of credit cycles
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Threshold autoregressive models for interval-valued time series data
• Strong convergence of estimators in nonlinear autoregressive models
• Discriminating between competing STAR models
• Smooth transition quantile capital asset pricing models with heteroscedasticity
• An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
• Systematic small sample bias in two regime SETAR model estimation
• The effects of small sample bias in threshold autoregressive models
• Threshold variable selection by wavelets in open-loop threshold autoregressive models
• Time-varying model averaging
• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Corporate social responsibility: how much is enough? A higher dimension perspective of the relationship between financial and social performance
• Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery
• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models
• Efficient estimation in smooth threshold autoregressive(1) models
• Forecasting performance of exponential smooth transition autoregressive exchange rate models
• Identification of hybrid systems. A tutorial
• Estimation and inference of threshold regression models with measurement errors
• A hidden Markov regime-switching smooth transition model
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
• Times series models with thresholds
• Endogeneity in threshold nonlinearity tests
• Tests for linearity in star models: SupWald and LM-type tests
• Empirical Likelihood for Threshold Autoregressive Models
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Nonparametric estimation of dynamic panel models with fixed effects
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
• Parameter estimation in nonlinear AR-GARCH models
• scientific article; zbMATH DE number 444674 (Why is no real title available?)
• scientific article; zbMATH DE number 3850327 (Why is no real title available?)
• Hysteretic autoregressive time series models
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
• Nonlinearity tests in time series analysis
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• Estimation in threshold autoregressive models with correlated innovations
• scientific article; zbMATH DE number 58259 (Why is no real title available?)
• ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS
• Bayesian analysis of threshold autoregressions
• On nonlinear models for time series
• Adaptive parameter estimation in self-exciting threshold autoregressive models
• scientific article; zbMATH DE number 718746 (Why is no real title available?)
• A radial basis function artificial neural network test for neglected nonlinearity
• Threshold Autoregression with a Unit Root
• BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Identification of threshold autoregressive moving average models
• Threshold quantile autoregressive models
• Estimation of threshold values and regression parameters in threshold regression model
• Law of the iterated logarithm for error density estimators in nonlinear autoregressive models
• Detection of jump location curve in spatial linear regression model with two-dimensional threshold
• Theory and applications of TAR model with two threshold variables
• On hysteretic vector autoregressive model with applications
• Volatility clustering in the presence of time-varying model parameters
• Nonlinearity testing and modeling for threshold moving average models
• A Portmanteau Test for Smooth Transition Autoregressive Models
• Bayesian inference for Heston-STAR models
• A local unit root test in mean for financial time series
• Construction of credible intervals for nonlinear regression models with unknown error distributions
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Estimation and inference in unstable nonlinear least squares models
• scientific article; zbMATH DE number 5174068 (Why is no real title available?)
• Analysing nonlinear time series with central subspace
• scientific article; zbMATH DE number 2204338 (Why is no real title available?)
• Asset allocation under threshold autoregressive models
• Semiparametric methods in nonlinear time series analysis: a selective review
• Nonlinear autoregressive models with optimality properties
• Semiparametric transition models
• Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
• Change‐point analysis through integer‐valued autoregressive process with application to some COVID‐19 data
• Smooth transition simultaneous equation models
• Bayesian inference for order determination of double threshold variables autoregressive models
• On Mixture Double Autoregressive Time Series Models
• Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
• Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks
• Tractable Bayesian estimation of smooth transition vector autoregressive models
• Efficient and accurate variational inference for multilevel threshold autoregressive models in intensive longitudinal data
• A novel double-banded-threshold mixture autoregressive model
• Law of the iterated logarithm for error variance estimator in pth-order non linear autoregressive processes
• Bayesian quantile inference and order shrinkage for hysteretic quantile autoregressive models

This page was built for publication: ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3729867)