Numerical issues in threshold autoregressive modeling of time series

DOI10.1016/S0165-1889(02)00123-9MaRDI QIDQ951427zbMATH OpenOpenAlexFDO

Authors Jerry Coakley, Ana-María Fuertes, María-Teresa Pérez

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(02)00123-9

zbMATH Keywords

fitting methodgivens rotationsleast squares problemsMonte CarloQR factorizationrational interpolationthreshold autoregressive time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A floor and ceiling model of US output
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Evaluating the persistence and structuralist theories of unemployment from a nonlinear per\-spective
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• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 852536 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Testing and Modeling Threshold Autoregressive Processes
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Threshold models in non-linear time series analysis

Cited in

(9)

• Systematic small sample bias in two regime SETAR model estimation
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Testing for Threshold Diffusion
• Threshold Estimation via Group Orthogonal Greedy Algorithm
• Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes
• On the least squares estimation of multiple-regime threshold autoregressive models
• LASSO estimation of threshold autoregressive models
• Quasi-likelihood estimation of a threshold diffusion process
• Testing for sign and amplitude asymmetries using threshold autoregressions

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