Theory and applications of TAR model with two threshold variables
DOI10.1080/07474938.2011.607100zbMATH Open1491.62152OpenAlexW2156091088MaRDI QIDQ5080144FDOQ5080144
Authors: Hai-Qiang Chen, Terence T. L. Chong, Jushan Bai 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/54527/1/MPRA_paper_54527.pdf
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Cites Work
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Functional-Coefficient Autoregressive Models
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Sample Splitting and Threshold Estimation
- Structural change in AR(1) models
- Estimation and model selection based inference in single and multiple threshold models.
- Threshold Autoregression with a Unit Root
- Threshold models in non-linear time series analysis
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Testing and Modeling Threshold Autoregressive Processes
- Inference in TAR Models
- Generic consistency of the break-point estimators under specification errors in a multiple-break model
- Generic consistency of the break‐point estimator under specification errors
Cited In (23)
- Bayesian inference for order determination of double threshold variables autoregressive models
- A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
- Panel data models with two threshold variables
- Generalized threshold latent variable model
- Threshold vector ARMA models
- Threshold structures in economic and financial time series
- Threshold model with a time-varying threshold based on Fourier approximation
- A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- Trade as a threshold variable for multiple regimes: reply
- Dynamic panels with threshold effect and endogeneity
- Endogeneity in semiparametric threshold regression models with two threshold variables
- 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
- Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
- Multivariate contemporaneous-threshold autoregressive models
- Estimation and inference of threshold regression models with measurement errors
- Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
- Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
- Threshold Regression With a Threshold Boundary
- Bayesian subset selection for two-threshold variable autoregressive models
- Testing and Modeling Multivariate Threshold Models
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