Articlebronze2011

Threshold autoregression in economics

278 citations0/0 files storedStatistics and Its Interface

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Monetary Policy and Economic Impact Statistical Methods and Applications Forecasting Techniques and Applications

Abstract

The impact of Howell Tong's threshold autoregressive (TAR) model in the fields of econometrics and economics is documented by a review of the enormous literature.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1999Threshold effects in non-dynamic panels: Estimation, testing, and inference 1996Impulse response analysis in nonlinear multivariate models 2000Sample Splitting and Threshold Estimation 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

Cited by

2016Dynamic panels with threshold effect and endogeneity 2015Personal income inequality and aggregate demand 2017Does the volatility of commodity prices reflect macroeconomic uncertainty?2016Macroeconomic Uncertainty and Oil Price Volatility 2018Threshold autoregressive models for interval-valued time series data 2013Thresholds and Smooth Transitions in Vector Autoregressive Models 2021A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model 2020Do FEARS drive Bitcoin?

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