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ArticleContemporaneous threshold autoregressive models: Estimation, testing and forecasting

Michael J. Dueker2006

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Articlegreen2006

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting

Michael J. Dueker · Martín Solà · Fabio Spagnolo

32 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Control Systems and Identification Forecasting Techniques and Applications

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References

1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1988Testing Linearity Against Smooth Transition Autoregressive Models 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 2000Nonlinear Time Series Models in Empirical Finance 1996Testing Continuous-Time Models of the Spot Interest Rate 1988Rational-expectations econometric analysis of changes in regime 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models

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2014Modeling and forecasting interval time series with threshold models 2011Theory and Applications of TAR Model with Two Threshold Variables 2012State‐Dependent Threshold Smooth Transition Autoregressive Models*2010Multivariate contemporaneous-threshold autoregressive models

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Details

Year2006

Typearticle

Published2006-12-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations32

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2006.10.022

openalex_workW3124958064

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