Model Selection Uncertainty and Detection of Threshold Effects
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- Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, EconWPA.
- Pitarakis, J., 2004. "Model selection uncertainty and detection of threshold effects," Discussion Paper Series In Economics And Econometrics 409, Economics Division, School of Social Sciences, University of Southampton.
References listed on IDEAS
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- Tom Doan, "undated". "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
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- Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "Specification via model selection in vector error correction models," Economics Letters, Elsevier, vol. 60(3), pages 321-328, September.
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- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Hung-pin Lai, 2013. "Estimation of the threshold stochastic frontier model in the presence of an endogenous sample split variable," Journal of Productivity Analysis, Springer, vol. 40(2), pages 227-237, October.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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