Robust estimation and inference for threshold models with integrated regressors

DOI10.1017/S0266466614000553MaRDI QIDQ3450347zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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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

(10)

• 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

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