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

bootstrap testGreenland ice sheetheteroskedasticitylaw of large numbersthreshold autoregressive models

Mathematics Subject Classification ID

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

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Cited in

(5)

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

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