Identification of TAR models using recursive estimation

Miguel Ángel Bermejo, Daniel Peña and Ismael Sánchez

Journal of Forecasting, 2011, vol. 30, issue 1, 31-50

Abstract: This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time-varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic identification of the thresholds, but also has a superior identification performance than the competitors. The performance of the proposed procedure is illustrated using Monte Carlo experiments and real data. Copyright (C) 2010 John Wiley & Sons, Ltd.

Keywords: nonlinear time series; recursive estimation; arranged autoregression; TAR models; nonlinearity tests (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:30:y:2011:i:1:p:31-50

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