Threshold model with a time-varying threshold based on Fourier approximation

DOI10.1111/JTSA.12574MaRDI QIDQ5001025zbMATH OpenOpenAlexFDO

Authors Lixiong Yang, Chingnun Lee, I-Po Chen

Publication date 16 July 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12574

zbMATH Keywords

estimationFourier approximationtestingthreshold modeltime-varying threshold

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A score based approach to wild bootstrap inference
• A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
• A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks
• Bootstrap and wild bootstrap for high dimensional linear models
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Regression discontinuity designs with unknown discontinuity points: testing and estimation
• Robust estimation and inference for threshold models with integrated regressors
• Sample Splitting and Threshold Estimation
• The flexible Fourier form and Dickey-Fuller type unit root tests
• Threshold Autoregression with a Unit Root
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules

Cited in

(8)

• Thresholding in a generalized model for translation invariant systems
• Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
• The expected time to cross a threshold and its determinants: a simple and flexible framework
• Time-varying threshold regression model using the Kalman filter method
• On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis
• High dimensional threshold model with a time-varying threshold based on Fourier approximation
• Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects
• Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship

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