Testing and Modeling Threshold Autoregressive Processes
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Publication:4733261
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- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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- Multi-regime nonlinear capital asset pricing models
- Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
- Estimation in threshold autoregressive models with correlated innovations
- Testing time reversibility without moment restrictions
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- Testing multiple equation systems for common nonlinear components
- A Review of Nonparametric Time Series Analysis
- On continuous-time threshold ARMA processes
- Testing time series linearity via goodness-of-fit methods
- Estimation and model selection based inference in single and multiple threshold models.
- Order selection in nonlinear time series models with application to the study of cell memory
- Outliers and persistence in threshold autoregressive processes
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- Systematic small sample bias in two regime SETAR model estimation
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- On the least squares estimation of multiple-regime threshold autoregressive models
- BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
- Theory and applications of TAR model with two threshold variables
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- Least squares estimation of large dimensional threshold factor models
- Testing for nonlinearity in mean and volatility for heteroskedastic models
- A double-threshold GARCH model of stock market and currency shocks on stock returns
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- A multivariate threshold varying conditional correlations model
- Testing and Modeling Multivariate Threshold Models
- Nonlinear Time Series Models and Model Selection
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- Threshold variable selection using nonparametric methods
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Numerical issues in threshold autoregressive modeling of time series
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Smooth buffered autoregressive time series models
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Bayesian subset selection for threshold autoregressive moving-average models
- Bayesian inference for order determination of double threshold variables autoregressive models
- Bootstrapping threshold autoregressive models
- On testes for threshold–type nonlinearity in irregulaly spaced time series
- Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
- Bayesian analysis of multiple thresholds autoregressive model
- Multivariate Hysteretic Autoregressive Models
- Bootstrap order selection for SETAR models
- Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
- Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts
- Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model
- Identification of threshold autoregressive moving average models
- Bayesian inferences and forecasting in bilinear time series models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Stability in threshold VAR models
- Tests for TAR models vs. star models -- a separate family of hypotheses approach
- Identification of TAR models using recursive estimation
- Testing for Threshold Diffusion
- Nonlinearity testing and modeling for threshold moving average models
- Linear approximation of the threshold autoregressive model: an application to order estimation
- Stationarity and ergodic properties for some observation-driven models in random environments
- Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
- Predictive density criterion for SETAR models
- The impact of special days in call arrivals forecasting: a neural network approach to modelling special days
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