Subsampling inference in threshold autoregressive models

DOI10.1016/j.jeconom.2004.08.004zbMath1335.62134WikidataQ60962278 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

zbMATH Keywords

continuity; confidence intervals; regime shifts; subsampling; threshold autoregressive models

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62D05: Sampling theory, sample surveys

62M02: Markov processes: hypothesis testing