Small sample properties of the conditional least squares estimator in SETAR models

DOI10.1016/S0165-1765(00)00314-1MaRDI QIDQ1583393zbMATH OpenFDO

Authors George Kapetanios

Publication date 26 October 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Monte CarloSETAR modelsthreshold modelssuperconsistency

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• A floor and ceiling model of US output
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• Testing and Modeling Threshold Autoregressive Processes

Cited in

(11)

• Testing for sign and amplitude asymmetries using threshold autoregressions
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Testing for exogeneity in threshold models
• Modeling structural breaks in economic relationships using large shocks
• Small Domain Estimation: A Conditional Analysis
• Systematic small sample bias in two regime SETAR model estimation
• A note on the consistency of a robust estimator for threshold autoregressive processes
• A variable addition test for exogeneity in structural threshold models
• Improved bootstrap prediction intervals for SETAR models
• Least squares estimation of large dimensional threshold factor models
• Nonlinear models for strongly dependent processes with financial applications

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