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Nested threshold autoregressive (NeTAR) models

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  • Astatkie, T.
  • Watts, D. G.
  • Watt, W. E.

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  • Astatkie, T. & Watts, D. G. & Watt, W. E., 1997. "Nested threshold autoregressive (NeTAR) models," International Journal of Forecasting, Elsevier, vol. 13(1), pages 105-116, March.
  • Handle: RePEc:eee:intfor:v:13:y:1997:i:1:p:105-116
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    References listed on IDEAS

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    1. Maher, M. J., 1983. "Inferences on trip matrices from observations on link volumes: A Bayesian statistical approach," Transportation Research Part B: Methodological, Elsevier, vol. 17(6), pages 435-447, December.
    2. Van Zuylen, Henk J. & Willumsen, Luis G., 1980. "The most likely trip matrix estimated from traffic counts," Transportation Research Part B: Methodological, Elsevier, vol. 14(3), pages 281-293, September.
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    Cited by:

    1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, pages 1-47.
    2. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    3. repec:wyi:journl:002152 is not listed on IDEAS
    4. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, November.
    5. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, pages 311-340.
    6. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, pages 1-47.
    7. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    8. Chong, Terence Tai Leung & Chen, Haiqiang & Wong, Tsz Nga & Yan, Isabel K., 2015. "Estimation and Inference of Threshold Regression Models with Measurement Errors," MPRA Paper 68457, University Library of Munich, Germany.
    9. Chong Terence T. L. & He Qing & Hinich Melvin J, 2008. "The Nonlinear Dynamics of Foreign Reserves and Currency Crises," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, pages 1-18.
    10. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    11. Chong, Terence Tai Leung & Yan, Isabel K., 2014. "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper 54732, University Library of Munich, Germany.
    12. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    13. Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," SSE/EFI Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 29 Apr 2004.
    14. Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan, 2012. "Theory and Applications of TAR Model with Two Threshold Variables," MPRA Paper 54527, University Library of Munich, Germany.
    15. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

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