A sequential procedure for determining the number of regimes in a threshold autoregressive model

Birgit Strikholm · Timo Teräsvirta Y

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Monetary Policy and Economic Impact Statistical Methods and Applications Statistical Methods and Inference

Abstract

In this paper, we propose a sequential method for determining the number of regimes in threshold autoregressive models. The proposed method relies on the superconsistency of sequential threshold estimates and uses general linearity tests to determine the number of thresholds. A simulation study is performed in order to find out the finite‐sample properties of our procedure and to compare it with two other procedures available in the literature. We find that our method works reasonably well for both single and multiple threshold models.

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References

1999Threshold effects in non-dynamic panels: Estimation, testing, and inference 2000Sample Splitting and Threshold Estimation 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1988Testing Linearity Against Smooth Transition Autoregressive Models 2001Threshold Autoregression with a Unit Root 1997Inference in TAR Models 1996Testing the adequacy of smooth transition autoregressive models 1999Testing for Linearity

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