Contemporaneous threshold autoregressive models: estimation, testing and forecasting

DOI10.1016/j.jeconom.2006.10.022zbMath1418.62315MaRDI QIDQ289169

Michael J. Dueker, Martin Sola, Fabio Spagnolo

Publication date: 27 May 2016

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

Full work available at URL: https://www.utdt.edu/download.php?fname=_125209197117759800.pdf

zbMATH Keywords

nonlinear models; forecasting; smooth transition threshold autoregressive

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

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

62F03: Parametric hypothesis testing

91B84: Economic time series analysis

Related Items

A Gaussian Mixture Autoregressive Model for Univariate Time Series, Bootstrap order selection for SETAR models, Gaussian mixture vector autoregression, Multivariate contemporaneous-threshold autoregressive models, An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models, Testing for observation-dependent regime switching in mixture autoregressive models, Modeling and forecasting interval time series with threshold models, Multi-regime models for nonlinear nonstationary time series, Selecting nonlinear time series models using information criteria

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• Geometric equivalence of groups.
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Nonlinear interest rate dynamics and implications for the terms structure
• On forecasting SETAR processes
• A floor and ceiling model of US output
• Estimation and model selection based inference in single and multiple threshold models.
• Model Selection in Threshold Models
• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Testing linearity against smooth transition autoregressive models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
• Testing and Modeling Threshold Autoregressive Processes
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP