A Sequential Procedure For Determining The Number of Regimes in A Threshold Autoregressive Model  

Oleh:

Strikholm, Birgit ; Terasvirta, Timo

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 3 (2006), page 472-491.
Topik: nonlinear analysis; model specification; model selection criterion; non linear modelling; sequential testing; switching regression
Fulltext: 472.pdf (327.72KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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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