Graphical identification of TAR models

Ismael Sánchez
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper proposes an automatic procedure to identify Threshold Autoregressive models and specify the threshold values. The proposed procedure is based on recursive estimation of arranged autoregression. The main advantage of the proposed procedure over its competitors is that the threshold values are automatically detected. The performance of the proposed procedure is evaluated using simulations and real data.

Keywords: Nonlinear; time; series; Recursive; estimation; Arranged; autoregression; TAR; models; Nonlinearity; test (search for similar items in EconPapers)
Date: 2009-12
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws097723

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