On the least squares estimation of multiple-regime threshold autoregressive models
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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- scientific article; zbMATH DE number 3403545 (Why is no real title available?)
- A continuous mapping theorem for the smallest argmax functional
- A multiple-threshold AR(1) model
- A note on the geometric ergodicity of a Markov chain
- A smoothed least squares estimator for threshold regression models
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Convergence of stochastic processes
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Econometric Theory and Practice
- Estimation and model selection based inference in single and multiple threshold models.
- Financial Modelling with Jump Processes
- Fitting an error distribution in some heteroscedastic time series models
- Inference in TAR Models
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Markov chains and stochastic stability
- Model selection in threshold models
- Nonlinear time series. Nonparametric and parametric methods
- Numerical issues in threshold autoregressive modeling of time series
- ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
- On maximum likelihood estimators for a threshold autoregression
- On non-stationary threshold autoregressive models
- On strict stationarity and ergodicity of a non-linear ARMA model
- On the ergodicity of \(TAR(1)\) processes
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Sample Splitting and Threshold Estimation
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Subsampling inference in threshold autoregressive models
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- Tests of independence and randomness based on the empirical copula process
- Threshold Autoregression with a Unit Root
- Threshold models in time series analysis -- 30 years on
- Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
Cited in
(56)- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- Multi-threshold proportional hazards model and subgroup identification
- M-Estimators of U-Processes With a Change-Point Due to a Covariate Threshold
- On ergodicity of threshold ARMA\((m, p, q)\) models
- A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
- First-order random coefficients integer-valued threshold autoregressive processes
- Adaptive estimation of the threshold point in threshold regression
- Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
- A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
- Asymptotic inference in multiple-threshold double autoregressive models
- LASSO estimation of threshold autoregressive models
- Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime
- Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
- Quantile regression on quantile ranges -- a threshold approach
- Fixed accuracy estimation of parameters in a threshold autoregressive model
- Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts
- Structural threshold regression
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
- Identification of threshold autoregressive moving average models
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- On non-stationary threshold autoregressive models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Segment regression model average with multiple threshold variables and multiple structural breaks
- Strong consistency of conditional least squares estimators in multiple regime threshold autoregressive models
- Panel threshold regressions with latent group structures
- Robust estimation and inference for threshold models with integrated regressors
- Generalized threshold latent variable model
- Oracle estimation of a change point in high-dimensional quantile regression
- Testing for homogeneous thresholds in threshold regression models
- Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
- Threshold Estimation via Group Orthogonal Greedy Algorithm
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Inference in TAR Models
- Change point estimation in regression model with response missing at random
- Shrinkage estimation of multiple threshold factor models
- Threshold regression with nonparametric sample splitting
- Estimation of generalized threshold autoregressive models
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- scientific article; zbMATH DE number 5174068 (Why is no real title available?)
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
- The bootstrap in threshold regression
- Threshold autoregressive models for interval-valued time series data
- Multithreshold change plane model: estimation theory and applications in subgroup identification
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- An integer-valued threshold autoregressive process based on negative binomial thinning
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Endogeneity in semiparametric threshold regression
- Weak convergence of the sequential empirical processes of residuals in TAR models
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Threshold negative binomial autoregressive model
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