Small sample properties of the conditional least squares estimator in SETAR models
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Publication:1583393
DOI10.1016/S0165-1765(00)00314-1zbMATH Open0954.91044MaRDI QIDQ1583393FDOQ1583393
Authors: George Kapetanios 
Publication date: 26 October 2000
Published in: Economics Letters (Search for Journal in Brave)
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Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)
Cites Work
- Title not available (Why is that?)
- 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
- A floor and ceiling model of US output
- Testing and Modeling Threshold Autoregressive Processes
Cited In (11)
- Testing for sign and amplitude asymmetries using threshold autoregressions
- Systematic small sample bias in two regime SETAR model estimation
- Improved bootstrap prediction intervals for SETAR models
- Modeling structural breaks in economic relationships using large shocks
- Small Domain Estimation: A Conditional Analysis
- Nonlinear models for strongly dependent processes with financial applications
- A variable addition test for exogeneity in structural threshold models
- A note on the consistency of a robust estimator for threshold autoregressive processes
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Least squares estimation of large dimensional threshold factor models
- Testing for exogeneity in threshold models
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