Data Transformation and Self‐Exciting Threshold Autoregression

D. K. Ghaddar and Howell Tong

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 3, 238-248

Abstract: We take the view that a time series model, linear or not, is judged adequate only if it reduces the observed data to approximate Gaussian white noise. We study the goodness of fit of self‐exciting threshold autoregressive models (setar) from this standpoint. We also study the practical utility of the instantaneous Box‐Cox transformation as an aid to facilitate the desired reduction. Multi‐step‐ahead predictions of the Wölfs sunspot numbers are given for the years 1980 to 1987.

Date: 1981
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