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Identification of TAR models using recursive estimation


  • Miguel Ángel Bermejo
  • Daniel Peña
  • Ismael Sánchez


This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time-varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic identification of the thresholds, but also has a superior identification performance than the competitors. The performance of the proposed procedure is illustrated using Monte Carlo experiments and real data. Copyright (C) 2010 John Wiley & Sons, Ltd.

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  • Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Identification of TAR models using recursive estimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(1), pages 31-50, January.
  • Handle: RePEc:jof:jforec:v:30:y:2011:i:1:p:31-50

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    References listed on IDEAS

    1. Nieto, Fabio H. & Guerrero, Victor M., 1995. "Kalman filter for singular and conditional state-space models when the system state and the observational error are correlated," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 303-310, March.
    2. Víctor Guerrero & Fabio Nieto, 1999. "Temporal and contemporaneous disaggregation of multiple economic time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 459-489, December.
    3. repec:adr:anecst:y:1987:i:6-7:p:12 is not listed on IDEAS
    4. repec:adr:anecst:y:1987:i:6-7 is not listed on IDEAS
    5. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    6. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    7. F. Javier Fernandez Macho & Andrew C. Harvey & James H. Stock, 1987. "Forecasting and Interpolation Using Vector Autoregressions with Common Trends," Annals of Economics and Statistics, GENES, issue 6-7, pages 279-287.
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    Cited by:

    1. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.


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