IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Subsampling inference in threshold autoregressive models"

by Jesús Gonzalo & Michael Wolf

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. repec:cep:stiecm:/2007/517 is not listed on IDEAS
  2. Kourtellos, A. & Tan, C.M. & Stengos, T., 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," Working Papers 0801, University of Guelph, Department of Economics and Finance.
  3. Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2014. "Generalised density forecast combinations," Bank of England working papers 492, Bank of England.
  4. Jes�s Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  5. Donayre, Luiggi & Eo, Yunjong & Morley, James, 2014. "Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples," Working Papers 2014-04, University of Sydney, School of Economics.
  6. Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2008. "Structural Threshold Regression," Discussion Papers Series, Department of Economics, Tufts University 0717, Department of Economics, Tufts University.
  7. Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
  8. Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
  9. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, 07.
  10. Yu, Ping, 2012. "Likelihood estimation and inference in threshold regression," Journal of Econometrics, Elsevier, vol. 167(1), pages 274-294.
  11. James Mitchell & George Kapetanios & Yongcheol Shin, 2012. "A Nonlinear Panel Data Model of Cross-Sectional Dependence," Discussion Papers in Economics 12/01, Department of Economics, University of Leicester.
  12. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
  13. Deniz Baglan & Emre Yoldas, 2013. "Government debt and macroeconomic activity: a predictive analysis for advanced economies," Finance and Economics Discussion Series 2013-05, Board of Governors of the Federal Reserve System (U.S.).
  14. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Centre de Recherche en Economie et Statistique.
  15. Sokbae Lee & Myunghwan Seo, 2007. "Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold," STICERD - Econometrics Paper Series 516, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
  17. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
  18. Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
  19. Ellen Hamaker & Zhiyong Zhang & Han Maas, 2009. "Using Threshold Autoregressive Models to Study Dyadic Interactions," Psychometrika, Springer, vol. 74(4), pages 727-745, December.
  20. Claudio Pizzi & Francesca Parpinel, 2011. "Evolutionary computational approach in TAR model estimation," Working Papers 2011_26, Department of Economics, University of Venice "Ca' Foscari".
  21. Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  22. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.