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On parameter estimation of threshold autoregressive models

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  • Ngai Chan
  • Yury Kutoyants

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  • Ngai Chan & Yury Kutoyants, 2012. "On parameter estimation of threshold autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 81-104, April.
    • Handle: RePEc:spr:sistpr:v:15:y:2012:i:1:p:81-104
    DOI: 10.1007/s11203-011-9064-0
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    References listed on IDEAS

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    1. K. S. Chan & H. Tong, 1987. "A Note On Embedding A Discrete Parameter Arma Model In A Continuous Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 277-281, May.
    2. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    3. John Geweke & Nobuhiko Terui, 1993. "Bayesian Threshold Autoregressive Models For Nonlinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(5), pages 441-454, September.
    4. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
    5. Taniguchi, Masanobu, 2008. "Non-regular estimation theory for piecewise continuous spectral densities," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 153-170, February.
    6. Dedecker, Jérôme & Doukhan, Paul, 2003. "A new covariance inequality and applications," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 63-80, July.
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    Cited by:

    1. P. Chigansky & Yu. Kutoyants, 2013. "Estimation in threshold autoregressive models with correlated innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(5), pages 959-992, October.
    2. Jean-Marc Le Caillec, 2021. "Threshold autoregressive model blind identification based on array clustering," Post-Print hal-03210735, HAL.
    3. Katleho Makatjane & Ntebogang Moroke & Diteboho Xaba, 2017. "Threshold Cointegration and Nonlinear Causality test between Inflation Rate and Repo Rate," Journal of Economics and Behavioral Studies, AMH International, vol. 9(3), pages 163-170.

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