Numerical issues in threshold autoregressive modeling of time series

Jerry Coakley, Ana-Maria Fuertes and Marı́a-Teresa Pérez

Journal of Economic Dynamics and Control, 2003, vol. 27, issue 11, 2219-2242

Abstract: This paper analyses the contribution of various numerical approaches to making the estimation of threshold autoregressive time series more efficient. It relies on the computational advantages of QR factorizations and proposes Givens transformations to update these factors for sequential LS problems. By showing that the residual sum of squares is a continuous rational function over threshold intervals it develops a new fitting method based on rational interpolation and the standard necessary optimality condition. Taking as benchmark a simple grid search, the paper illustrates via Monte Carlo simulations the efficiency gains of the proposed tools.

Keywords: Band-TAR; QR factorization; Givens rotations; Rational interpolation (search for similar items in EconPapers)
JEL-codes: C51 C61 C63 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:27:y:2003:i:11:p:2219-2242

DOI: 10.1016/S0165-1889(02)00123-9

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