Estimation in threshold autoregressive models with a stationary and a unit root regime
DOI10.1016/J.JECONOM.2011.12.006zbMATH Open1443.62256OpenAlexW3121404947MaRDI QIDQ528112FDOQ528112
Dag Tjøstheim, Jiying Yin, Jiti Gao
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002047
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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Cited In (19)
- 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
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- Local composite quantile regression smoothing for Harris recurrent Markov processes
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- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
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