Robust estimation and inference for threshold models with integrated regressors
From MaRDI portal
Recommendations
Cites work
- A smoothed least squares estimator for threshold regression models
- Canonical Cointegrating Regressions
- Confidence sets for the date of a single break in linear time series regressions
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Estimation and model selection based inference in single and multiple threshold models.
- Functional-coefficient models for nonstationary time series data
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Likelihood estimation and inference in threshold regression
- Nonlinear Econometric Models with Deterministically Trending Variables
- Nonlinear Regressions with Integrated Time Series
- Nonlinearity, nonstationarity, and spurious forecasts
- Nonparametric specification testing for nonlinear time series with nonstationarity
- Null recurrent unit root processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Sample Splitting and Threshold Estimation
- Specification testing in nonlinear and nonstationary time series autoregression
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Structural nonparametric cointegrating regression
- Tests for nonlinear cointegration
- Threshold Autoregression with a Unit Root
- Time-varying cointegration
Cited in
(11)- A perspective on recent methods on testing predictability of asset returns
- Robust inference for threshold regression models
- Time-varying threshold cointegration with an application to the Fisher hypothesis
- Structural threshold regression
- Threshold model with a time-varying threshold based on Fourier approximation
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- High dimensional threshold model with a time-varying threshold based on Fourier approximation
- Panel threshold mixed data sampling models with a covariate-dependent threshold
- Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship
- Regime-Specific Return Predictability in Quantiles
This page was built for publication: Robust estimation and inference for threshold models with integrated regressors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3450347)
