Threshold models in time series analysis—Some reflections

Howell Tong

Journal of Econometrics, 2015, vol. 189, issue 2, 485-491

Abstract: In this paper, I reflect on the developments of the threshold model in time series analysis since its birth in 1978, with particular reference to econometrics.

Keywords: All-step-ahead prediction; Asymmetry; Bayesian decision; Business cycle; Catastrophe; Conditionally heteroscedastic autoregressive models with thresholds; GARCH model; Hidden Markov chain; Hysteresis; Jump resonance; Markov switching model; Mis-specified model; Mixture of distributions; Non-likelihood approach; Nonlinear unit root; Non-stationarity; Open-loop system; Panel threshold model; Positive-valued time series; Smooth threshold autoregressive models; Splines; Stochastic volatility; Structural breaks; Threshold autoregressive models; Threshold moving average models; Threshold principle; Threshold unit root; Volatility; Wrong model (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:2:p:485-491

DOI: 10.1016/j.jeconom.2015.03.039

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