Estimation in threshold autoregressive models with a stationary and a unit root regime
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Cites work
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- scientific article; zbMATH DE number 775742 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Estimation in semi-parametric regression with non-stationary regressors
- Functional-coefficient models for nonstationary time series data
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Modelling Nonlinear Economic Time Series
- Nonlinear Regressions with Integrated Time Series
- Nonlinear Time Series
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric estimation in a nonlinear cointegration type model
- Nonparametric estimation in null recurrent time series.
- Nonparametric specification testing for nonlinear time series with nonstationarity
- Null recurrent unit root processes
- On non-stationary threshold autoregressive models
- On the least squares estimation of multiple-regime threshold autoregressive models
- Sample Splitting and Threshold Estimation
- Specification testing in nonlinear and nonstationary time series autoregression
- Structural nonparametric cointegrating regression
- Testing for threshold autoregression
- The sequence of sums of independent random variables
- Threshold Autoregression with a Unit Root
- Threshold models in non-linear time series analysis
- Time Series Regression with a Unit Root
- Time series analysis: Methods and applications
Cited in
(24)- Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
- Threshold Autoregression with a Unit Root
- Testing nonstationary and absolutely regular nonlinear time series models
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Robust nonlinear regression estimation in null recurrent time series
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- Uniform convergence of estimator for nonparametric regression with dependent data
- scientific article; zbMATH DE number 7708021 (Why is no real title available?)
- Sequential estimation for time series models
- Uniform consistency for nonparametric estimators in null recurrent time series
- Regenerative bootstrap for -null recurrent Markov chains
- On the least squares estimation of multiple-regime threshold autoregressive models
- A New Class of Bivariate Threshold Cointegration Models
- Comment on: Threshold Autoregressions With a Unit Root
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Unit root testing in presence of a double threshold process
- Cointegration with occasionally binding constraints
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Tail index estimation for discrete heavy-tailed distributions with application to statistical inference for regular Markov chains
- Fixed accuracy estimation of parameters in a threshold autoregressive model
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- On non-stationary threshold autoregressive models
- Semiparametric methods in nonlinear time series analysis: a selective review
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
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