Robust estimation and inference for threshold models with integrated regressors
DOI10.1017/S0266466614000553zbMATH Open1441.62636OpenAlexW3123645148MaRDI QIDQ3450347FDOQ3450347
Authors: Hai-Qiang Chen 
Publication date: 3 November 2015
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000553
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Cites Work
- Specification testing in nonlinear and nonstationary time series autoregression
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Sample Splitting and Threshold Estimation
- Structural nonparametric cointegrating regression
- Tests for nonlinear cointegration
- Canonical Cointegrating Regressions
- Nonlinear Regressions with Integrated Time Series
- Estimation and model selection based inference in single and multiple threshold models.
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Threshold Autoregression with a Unit Root
- A smoothed least squares estimator for threshold regression models
- Confidence sets for the date of a single break in linear time series regressions
- Nonlinearity, nonstationarity, and spurious forecasts
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Functional-coefficient models for nonstationary time series data
- On the least squares estimation of multiple-regime threshold autoregressive models
- Null recurrent unit root processes
- Nonparametric specification testing for nonlinear time series with nonstationarity
- Likelihood estimation and inference in threshold regression
- Nonlinear Econometric Models with Deterministically Trending Variables
- Time-varying cointegration
Cited In (8)
- Structural threshold regression
- Robust inference for threshold regression models
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- Threshold model with a time-varying threshold based on Fourier approximation
- A perspective on recent methods on testing predictability of asset returns
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- High dimensional threshold model with a time-varying threshold based on Fourier approximation
- Time-varying threshold cointegration with an application to the Fisher hypothesis
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