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Threshold models in time series analysis—Some reflections
12 references·2 citing·42 second hop
Threshold models in time series analysis—Some reflections (2015)Threshold models in time series analysis—…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…Structural breaks in time series (2012)Structural breaks in time ser…Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data (2012)Non‐Parametric Change‐Point T…Threshold models in time series analysis — 30 years on (2011)Threshold models in time seri…Threshold autoregression in economics (2011)Threshold autoregression in e…Modelling Nonlinear Economic Time Series (2010)Modelling Nonlinear Economic …SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)SMOOTH TRANSITION AUTOREGRESS…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Testing and Modeling Multivariate Threshold Models (1998)Testing and Modeling Multivar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The analysis of some discontinuous decision processes (1981)The analysis of some disconti…Threshold autoregression, limit cycles and cyclical data- with discussion (1980)Threshold autoregression, lim…A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (2019)A THRESHOLD MODEL FOR LOCAL V…Does the OVX matter for volatility forecasting? Evidence from the crude oil market (2017)Does the OVX matter for volat…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Inference for single and multiple change‐points in time series (2013)A computationally efficient nonparametric approach for changepoint detection (2016)On optimal multiple changepoint algorithms for large data (2016)Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Comparing Predictive Accuracy (1994)Testing for a unit root in the nonlinear STAR framework (2002)Dealing with Structural Breaks (2005)An Empirical Comparison of Machine Learning Models for Time Series Forecasting (2010)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Personal income inequality and aggregate demand (2015)Dynamic panels with threshold effect and endogeneity (2016)Does the volatility of commodity prices reflect macroeconomic uncertainty? (2017)Forecasting and testing in co-integrated systems (1987)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Threshold Cointegration (1997)Analysis of Financial Time Series (2006)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Some advances in non‐linear and adaptive modelling in time‐series (1994)On a threshold heteroscedastic model (2005)Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions (2014)Economic growth and carbon emissions: Estimation of a panel threshold model for the transition process in China (2020)Deep learning in predicting cryptocurrency volatility (2022)A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting (2015)Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2016)Economic Policy Uncertainty Spillovers in Booms and Busts (2019)
this work references cited by second hop

References

  • 2021Econometric Analysis of Panel Data15,089 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,175 cited
  • 1998Testing and Modeling Multivariate Threshold Models677 cited
  • 2012Structural breaks in time series444 cited
  • 2010Modelling Nonlinear Economic Time Series352 cited
  • 2011Threshold autoregression in economics278 cited
  • 1980Threshold autoregression, limit cycles and cyclical data- with discussion247 cited
  • 2011Threshold models in time series analysis — 30 years on187 cited
  • 2012Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data82 cited
  • 1981The analysis of some discontinuous decision processes22 cited

Cited by

  • 2017Does the OVX matter for volatility forecasting? Evidence from the crude oil market29 cited
  • 2019A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA27 cited

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