Threshold variable selection by wavelets in open-loop threshold autoregressive models

Wai-Cheung Ip, Heung Wong, Yuan Li and Zhongjie Xie

Statistics & Probability Letters, 1999, vol. 42, issue 4, 375-392

Abstract: Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coefficients of the data are defined. The time delay and thresholds are detected and then estimated by checking the variation of the empirical wavelet coefficients. All the estimators are shown to be consistent.

Keywords: Time; delay; Thresholds; Wavelets (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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