Subsampling inference in threshold autoregressive models
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Publication:262833
DOI10.1016/j.jeconom.2004.08.004zbMath1335.62134OpenAlexW2111007689WikidataQ60962278 ScholiaQ60962278MaRDI QIDQ262833
F. Blanchet-Sadri, M. Dambrine
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Markov processes: hypothesis testing (62M02)
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Cites Work
- Unnamed Item
- Subsampling
- Mixing: Properties and examples
- Large sample confidence regions based on subsamples under minimal assumptions
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Sample Splitting and Threshold Estimation
