Theory and applications of TAR model with two threshold variables
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Publication:5080144
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Cites work
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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- Functional-Coefficient Autoregressive Models
- Generic consistency of the break-point estimators under specification errors in a multiple-break model
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- Inference in TAR Models
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Sample Splitting and Threshold Estimation
- Structural change in AR(1) models
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- Threshold Autoregression with a Unit Root
- Threshold models in non-linear time series analysis
Cited in
(23)- A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
- A review of threshold time series models in finance
- A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
- A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
- Trade as a threshold variable for multiple regimes: reply
- Bayesian inference for order determination of double threshold variables autoregressive models
- Threshold Regression With a Threshold Boundary
- Endogeneity in semiparametric threshold regression models with two threshold variables
- Generalized threshold latent variable model
- Threshold model with a time-varying threshold based on Fourier approximation
- Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
- Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
- Bayesian subset selection for two-threshold variable autoregressive models
- Multivariate contemporaneous-threshold autoregressive models
- Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
- Panel data models with two threshold variables
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- Dynamic panels with threshold effect and endogeneity
- Threshold structures in economic and financial time series
- Testing and Modeling Multivariate Threshold Models
- Estimation and inference of threshold regression models with measurement errors
- Threshold vector ARMA models
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
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