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A sequential procedure for determining the number of regimes in a threshold autoregressive model

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  • Birgit Strikholm
  • Timo Teräsvirta

Abstract

In this paper, we propose a sequential method for determining the number of regimes in threshold autoregressive models. The proposed method relies on the superconsistency of sequential threshold estimates and uses general linearity tests to determine the number of thresholds. A simulation study is performed in order to find out the finite-sample properties of our procedure and to compare it with two other procedures available in the literature. We find that our method works reasonably well for both single and multiple threshold models. Copyright Royal Economic Society 2006

Suggested Citation

  • Birgit Strikholm & Timo Teräsvirta, 2006. "A sequential procedure for determining the number of regimes in a threshold autoregressive model," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 472-491, November.
    • Handle: RePEc:ect:emjrnl:v:9:y:2006:i:3:p:472-491
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    References listed on IDEAS

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    7. Loy, Jens-Peter & Holm, Thore & Steinhagen, Carsten, 2012. "Vertical Price Transmission In Differentiated Product Markets: A Disaggregated Study For Milk And Butter," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123284, Agricultural and Applied Economics Association.
    8. Bucci, Andrea & Sanmarchi, Francesco & Santi, Luca & Golinelli, Davide, 2024. "Evaluating the nonlinear association between PM10 and emergency department visits," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
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    10. Alexander Bick & Dieter Nautz, 2008. "Inflation Thresholds and Relative Price Variability: Evidence from U.S. Cities," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 61-76, September.
    11. Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.
    12. Eric Hillebrand & Marcelo C. Medeiros, 2016. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-41, January.
    13. Ellen Hamaker & Zhiyong Zhang & Han Maas, 2009. "Using Threshold Autoregressive Models to Study Dyadic Interactions," Psychometrika, Springer;The Psychometric Society, vol. 74(4), pages 727-745, December.
    14. Holm, Thore & Loy, Jens-Peter & Steinhagen, Carsten, 2012. "Bio Auch Bei Der Preissetzung: Konsummilch In Deutschland," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 137159, German Association of Agricultural Economists (GEWISOLA).
    15. Holm, T. & Loy, J.-P. & Steinhagen, C., . "Bio auch bei der Preissetzung: Konsummilch in Deutschland," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 48.
    16. Gulasekaran Rajaguru & Safdar Ullah Khan & Habib-Ur Rahman, 2021. "Analysis of Australia’s Fiscal Vulnerability to Crisis," JRFM, MDPI, vol. 14(7), pages 1-13, June.
    17. Jens-Peter Loy & Thore Holm & Carsten Steinhagen & Thomas Glauben, 2015. "Cost pass-through in differentiated product markets: a disaggregated study for milk and butter," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 42(3), pages 441-471.
    18. Dreger, Christian & Gerdesmeier, Dieter & Roffia, Barbara, 2020. "The impact of credit for house price overvaluations in the euro area: Evidence from threshold models," MPRA Paper 99523, University Library of Munich, Germany.
    19. Wei-han Liu & Zhefang Zhou, 2009. "Inflation-hedging Behavior of a Securitized Real Estate Market," International Real Estate Review, Global Social Science Institute, vol. 12(3), pages 221-251.

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