On the least squares estimation of multiple-regime threshold autoregressive models

DOI10.1016/J.JECONOM.2011.11.006zbMATH Open1441.62795OpenAlexW2131699250MaRDI QIDQ738149FDOQ738149

Authors: Dong Li, Shiqing Ling 

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.11.006

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zbMATH Keywords

asymptotic distributionleast squares estimationcompound Poisson processmultiple-regime TAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

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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
• Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
• The bootstrap in threshold regression
• Threshold negative binomial autoregressive model
• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• First-order random coefficients integer-valued threshold autoregressive processes
• Panel threshold regressions with latent group structures
• Change point estimation in regression model with response missing at random
• Structural threshold regression
• Generalized threshold latent variable model
• Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
• Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Threshold Estimation via Group Orthogonal Greedy Algorithm
• Quantile regression on quantile ranges -- a threshold approach
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• Oracle estimation of a change point in high-dimensional quantile regression
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• Estimation of generalized threshold autoregressive models
• Endogeneity in semiparametric threshold regression
• Simulation and application of subsampling for threshold autoregressive moving-average models
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• Asymptotic theory on the least squares estimation of threshold moving-average models
• Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime
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• 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
• On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
• Threshold autoregressive models for interval-valued time series data
• Identification of threshold autoregressive moving average models
• Weak convergence of the sequential empirical processes of residuals in TAR models
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• A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
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• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
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• Shrinkage estimation of multiple threshold factor models
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• An integer-valued threshold autoregressive process based on negative binomial thinning
• Testing for homogeneous thresholds in threshold regression models
• Fixed accuracy estimation of parameters in a threshold autoregressive model
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
• On non-stationary threshold autoregressive models
• Multithreshold change plane model: estimation theory and applications in subgroup identification
• Inference in TAR Models

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