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On Estimating Thresholds In Autoregressive Models

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  • K. S. Chan
  • H. Tong

Abstract

. The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least‐squares estimate may be obtained. Artificial and real data are used for illustrations.

Suggested Citation

  • K. S. Chan & H. Tong, 1986. "On Estimating Thresholds In Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 179-190, May.
    • Handle: RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190
    DOI: 10.1111/j.1467-9892.1986.tb00501.x
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