Subsampling inference in threshold autoregressive models

DOI10.1016/J.JECONOM.2004.08.004MaRDI QIDQ262833zbMATH OpenOpenAlexWikidataFDO

Authors Jesús Gonzalo, Michael M. Wolf

Publication date 30 March 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/3218

zbMATH Keywords

confidence intervalssubsamplingcontinuityregime shiftsthreshold autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Markov processes: hypothesis testing (62M02)

Recommendations

• Inference in TAR Models
• scientific article; zbMATH DE number 775746
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Model diagnosis for SETAR time series
• scientific article; zbMATH DE number 775745

Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Large sample confidence regions based on subsamples under minimal assumptions
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Mixing: Properties and examples
• Sample Splitting and Threshold Estimation
• Subsampling

Cited in

(34)

• The bootstrap in threshold regression
• Subsampling vector autoregressive tests of linear constraints
• Model diagnosis for SETAR time series
• Nested sub-sample search algorithm for estimation of threshold models
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Estimation of nonlinear error correction models
• A fast subsampling method for nonlinear dynamic models
• Threshold Estimation in Proportional Mean Residual Life Model
• Structural threshold regression
• Robust inference for threshold regression models
• Generalised density forecast combinations
• Modeling structural breaks in economic relationships using large shocks
• Subsampling \(p\)-values
• Modelling asymmetric behaviour in time series: identification through PSO
• Quantile regression on quantile ranges -- a threshold approach
• A smoothed least squares estimator for threshold regression models
• Optimal subsampling for large‐sample quantile regression with massive data
• Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
• Endogeneity in semiparametric threshold regression
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Robust subsampling
• On the least squares estimation of multiple-regime threshold autoregressive models
• Asymptotic inference in multiple-threshold double autoregressive models
• A nonlinear panel data model of cross-sectional dependence
• Likelihood estimation and inference in threshold regression
• Endogeneity in semiparametric threshold regression models with two threshold variables
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Adaptive estimation of the threshold point in threshold regression
• Using threshold autoregressive models to study dyadic interactions
• A threshold mixed count time series model: estimation and application
• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
• Testing for exogeneity in threshold models
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification

This page was built for publication: Subsampling inference in threshold autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q262833)