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Subsampling inference in threshold autoregressive models

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Author Info
Gonzalo, Jesus
Wolf, Michael

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4DGMV7J-3/2/a7f8e1eab947cf45ef3ee47173f43c3a
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 127 (2005)
Issue (Month): 2 (August)
Pages: 201-224
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Handle: RePEc:eee:econom:v:127:y:2005:i:2:p:201-224

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Web page: http://www.elsevier.com/locate/jeconom

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
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  2. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  2. repec:bep:sndecm:11:2007:3:1322-1322 is not listed on IDEAS
    Other versions:
  3. Stengos, T. & Kourtellos, A. & Tan, C.M., 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," Working Papers 2008-1, University of Guelph, Department of Economics. [Downloadable!]
    Other versions:
  4. Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2008. "Structural Threshold Regression," Discussion Papers Series, Department of Economics, Tufts University 0717, Department of Economics, Tufts University. [Downloadable!]
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  5. Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series /2007/517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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