Forecasting with univariate TAR models

DOI10.1016/J.STAMET.2007.09.002zbMATH Open1248.62165OpenAlexW1967410375MaRDI QIDQ713837FDOQ713837

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

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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)

Cites Work

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• Markov chains and stochastic stability
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• Forecasting the U.S. Unemployment Rate
• Bayesian statistical modelling
• Testing and Modeling Multivariate Threshold Models
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• On forecasting SETAR processes
• Forecasting with smooth transition autoregressive models
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP

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
• Title not available (Why is that?)

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