The validity of bootstrap testing for threshold autoregression

DOI10.1016/J.JECONOM.2023.01.004MaRDI QIDQ6190947zbMATH OpenFDO

Authors Simone Giannerini, Greta Goracci, Anders Rahbek

Publication date 6 March 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.01.004

zbMATH Keywords

heteroskedasticitylaw of large numbersthreshold autoregressive modelsbootstrap testGreenland ice sheet

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 4159917 (Why is no real title available?)
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 147184 (Why is no real title available?)
• scientific article; zbMATH DE number 469136 (Why is no real title available?)
• scientific article; zbMATH DE number 1423406 (Why is no real title available?)
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• An empirical study on the parsimony and descriptive power of TARMA models
• Asymptotic Statistics
• Autoregressive wild bootstrap inference for nonparametric trends
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• On calculation of stationary density of autoregressive processes.
• On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
• Pitch perception: A dynamical-systems perspective
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Testing a linear time series model against its threshold extension
• Testing and Modeling Multivariate Threshold Models
• Testing for a linear MA model against threshold MA models
• Testing for threshold autoregression
• Testing for threshold autoregression with conditional heteroscedasticity
• Testing linearity against smooth transition autoregressive models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Threshold models in time series analysis -- 30 years on
• Threshold models in time series analysis -- some reflections

Cited in

(4)

• Testing for threshold regulation in presence of measurement error
• A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models
• Bootstraps for dynamic panel threshold models
• Robust Estimation for Threshold Autoregressive Moving-Average Models

This page was built for publication: The validity of bootstrap testing for threshold autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6190947)