Forecasting with univariate TAR models

DOI10.1016/J.STAMET.2007.09.002MaRDI QIDQ713837zbMATH OpenOpenAlexFDO

Authors Fabio H. Nieto

Publication date 19 October 2012

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2007.09.002

zbMATH Keywords

nonlinear time seriesregime-switching modelspredictive distributionsthreshold-autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
• Bayesian statistical modelling
• Forecasting the U.S. Unemployment Rate
• Forecasting with smooth transition autoregressive models
• Markov chains and stochastic stability
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• On forecasting SETAR processes
• Testing and Modeling Multivariate Threshold Models

Cited in

(7)

• Least squares predictors for threshold models: properties and forecast evaluation
• Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models
• Threshold structures in economic and financial time series
• Forecasting for quantile self-exciting threshold autoregressive time series models
• TAR modeling with missing data when the white noise process follows a Student's \(t\)-distribution
• Forecasting with Multivariate Threshold Autoregressive Models
• scientific article; zbMATH DE number 6304517 (Why is no real title available?)

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