Testing and Modeling Threshold Autoregressive Processes
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Publication:4733261
DOI10.2307/2289868zbMATH Open0683.62050OpenAlexW4247779215MaRDI QIDQ4733261FDOQ4733261
Authors: Ruey S. Tsay 
Publication date: 1989
Full work available at URL: https://doi.org/10.2307/2289868
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Cited In (only showing first 100 items - show all)
- Threshold models in time series analysis -- some reflections
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Testing for nonlinearity in mean and volatility for heteroskedastic models
- Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
- Times series models with thresholds
- Systematic small sample bias in two regime SETAR model estimation
- A double-threshold GARCH model of stock market and currency shocks on stock returns
- Testing for structural change of AR model to threshold AR model
- Nonlinear modelling of periodic threshold autoregressions using Tsmars
- First-order random coefficients integer-valued threshold autoregressive processes
- A Review of Nonparametric Time Series Analysis
- BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Nonlinear stochastic inflation modelling using SEASETARs.
- A multivariate threshold varying conditional correlations model
- Order selection in nonlinear time series models with application to the study of cell memory
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- An introduction to stochastic unit-root processes
- On continuous-time threshold ARMA processes
- Small sample properties of the conditional least squares estimator in SETAR models
- Detection of jump location curve in spatial linear regression model with two-dimensional threshold
- Threshold quantile autoregressive models
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- Use of fuzzy statistical technique in change periods detection of nonlinear time series
- Testing for two-regime threshold cointegration in vector error-correction models.
- Threshold factor models for high-dimensional time series
- Testing time series linearity via goodness-of-fit methods
- Title not available (Why is that?)
- Outliers and persistence in threshold autoregressive processes
- Threshold models in time series analysis -- 30 years on
- A bivariate threshold time series model for analyzing Australian interest rates
- Testing for threshold autoregression
- THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1
- On the least squares estimation of multiple-regime threshold autoregressive models
- Numerical issues in threshold autoregressive modeling of time series
- Forecasting time-varying covariance with a robust Bayesian threshold model
- LASSO estimation of threshold autoregressive models
- Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
- Asymmetries and Markov-switching structural VAR
- Identification environment and robust forecasting for nonlinear time series
- Testing multiple equation systems for common nonlinear components
- Estimation and model selection based inference in single and multiple threshold models.
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- On a threshold autoregression with conditional heteroscedastic variances
- Testing time reversibility without moment restrictions
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- Title not available (Why is that?)
- Threshold variable selection by wavelets in open-loop threshold autoregressive models
- A Bayesian analysis of generalized threshold autoregressive models
- Threshold variable selection using nonparametric methods
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- On some models for value-at-risk
- Looking for evidence of speculative stockholding in commodity markets
- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- The effects of temporal aggregation on tests of linearity of a time series.
- Instability in regime switching models
- Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
- A flexible approach to parametric inference in nonlinear and time varying time series models
- Least squares estimation of large dimensional threshold factor models
- Nonlinearity tests in time series analysis
- Estimation in threshold autoregressive models with correlated innovations
- Nonlinear Time Series Models and Model Selection
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Theory and applications of TAR model with two threshold variables
- Multi-regime nonlinear capital asset pricing models
- A nonlinear time series approach to modelling asymmetry in stock market indexes
- Testing for a linear MA model against threshold MA models
- Testing and Modeling Multivariate Threshold Models
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Bayesian inference for order determination of double threshold variables autoregressive models
- Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
- Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
- Bayesian subset selection for threshold autoregressive moving-average models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Threshold Estimation via Group Orthogonal Greedy Algorithm
- Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
- On the approximation of continuous time threshold ARMA processes
- Tests for TAR models vs. star models -- a separate family of hypotheses approach
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- Bootstrap order selection for SETAR models
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Variance swaps under the threshold Ornstein-Uhlenbeck model
- Nonlinearity testing and modeling for threshold moving average models
- Stationarity and ergodic properties for some observation-driven models in random environments
- Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
- Testing for Threshold Diffusion
- Linear approximation of the threshold autoregressive model: an application to order estimation
- On a periodic negative binomial SETINAR model
- SETAR model selection -- a bootstrap approach
- On testes for threshold–type nonlinearity in irregulaly spaced time series
- Threshold autoregressive models for interval-valued time series data
- Multivariate Hysteretic Autoregressive Models
- Identification of threshold autoregressive moving average models
- Stability of cyclic threshold and threshold-like autoregressive time series models
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