Testing the threshold models
CiteSeerX — Testing and modeling multivariate threshold models
... The paper is organized as follows. In Section 2, we consider an arranged regression analysis that transforms the threshold model in (2) into a change-point problem. We then use recursive least squares to obtain ...
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Testing the expectations theory of the term structure of interest rates in threshold models
... In summary, stronger evidence for the expectations theory results from allowing for non-linearities, especially when S is relatively large. 5. ECONOMIC ANALYSIS OF THE MODELS There is a large academic literature ...
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Testing for threshold effects in regression models
... growth models with multiple equilibria can exhibit threshold ef- ...of threshold effects in the relationship between inflation and ...discontinuous threshold effect, hence testing for ...
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Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
... autoregressive models that account for a similar phenomenon are the threshold models of Tong (1978, 1983) and Tong and Lim (1980) and the smooth transition threshold autoregressive (STAR) ...
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Inference in Threshold Models
... for testing hypotheses about the parameters in threshold regression ...the threshold variable as time and recast cross-sectional threshold models into the time-series structural break ...
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Essays on threshold models with unit roots
... Root Models," is a project co-authored with Jesús Gonzalo and Raquel ...root models with threshold ...the threshold autoregressive stochastic unit root model (TARSUR), propose a test to ...
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Threshold effects In multivariate error correction models
... of testing and estima- tion of univariate threshold models have been obtained under the assumption of stationarity and ergodicity, another important motivation for their popularity came from the ...
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Estimating and Testing Threshold Regression Models with Multiple Threshold Variables
... on models with only one thresh- old variable and have limited applications when two or more threshold variables are ...certain threshold values before a currency crisis ...important threshold ...
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Contemporaneous threshold autoregressive models: estimation, testing and forecasting
... 5 Testing for the Number of Regimes 5.1 A Modified Hansen Test Testing the hypothesis that the stochastic process under analysis can be characterized as an AR model against the C-STAR nonlinear alternative ...
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Testing a linear ARMA Model against threshold-ARMA models : a Bayesian approach
... Bayesian testing scheme for threshold nonlinearity of two-regime TARMA ...petitive models, hence, our procedure can avoid some analytical difficulty and complicated compu- tation, therefore, it is ...
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Testing a linear ARMA Model against threshold-ARMA models : a Bayesian approach
... the threshold nonlinearity of TARMA ...the threshold value and other parameters of TARMA mod- els is ...the threshold and delay val- ues as well as the coefficients ...TMA models, but they ...
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Threshold autoregressive (TAR) &Momentum Threshold autoregressive (MTAR) models Specification
... root testing in the presence of structural break by defining dummy variables, three model under the unit root null and under trend stationary alternative hypothesis was tested by tabulating the critical values as ...
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Estimation in Threshold Autoregressive Models with Nonstationarity
... nonlinear threshold autoregressive mod- els with both stationary and nonstationary ...on testing for a unit–root structure in a threshold autoregressive ...because models under such an ...
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Jointly testing linearity and nonstationarity within threshold autoregressions
... Rejections occur when the magnitude of the test statistic is large. At this stage it is also interesting to contrast the above limit with the one that occurs within a similar setting but with structural break based ...
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Testing for cointegration with threshold adjustment in the presence of structural breaks
... two-regime threshold autoregressive (TAR) model which partitions the residual process according to a threshold value and specifies different coefficients of the leading autoregressive lag for each ...TAR ...
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A Bayesian nonlinearity test for threshold moving average models
... of threshold and delay ...Bayesian testing scheme for threshold non- linearity for two-regime TMA ...competitive models using RJMCMC ...
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Estimation and tests for power-transformed and threshold GARCH models
... level η, we can take the above test in order for p = P 0 − 1, · · · , s 0 and q = Q 0 − 1, · · · , r 0 in (3.2) until p = s 0 and q = r 0 such that W n (s) > χ 2 s (η). Then we can declare that the order of model (1.2) ...
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A Bayesian nonlinearity test for threshold moving average models
... of threshold and delay ...Bayesian testing scheme for threshold non- linearity for two-regime TMA ...competitive models using RJMCMC ...
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Threshold quantile autoregressive models
... article threshold quantile autoregressive ...the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vec- tor is estimated ...nonlinear threshold ...
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Threshold quantile autoregressive models
... article threshold quantile autoregressive ...the threshold parameter defining nonlinearities is known for each quantile, and also when the parameter vec- tor is estimated ...nonlinear threshold ...
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