Theory and Applications of TAR Model with Two Threshold Variables
Haiqiang Chen,
Terence Tai Leung Chong and
Jushan Bai
MPRA Paper from University Library of Munich, Germany
Abstract:
A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This paper develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided.
Keywords: Threshold Autoregressive Model; Misspecification; Likelihood Ratio Test; Bootstrapping. (search for similar items in EconPapers)
JEL-codes: C21 C22 (search for similar items in EconPapers)
Date: 2012-01-01
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Citations: View citations in EconPapers (22)
Published in Econometric Reviews 31.2(2012): pp. 142-170
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Related works:
Journal Article: Theory and Applications of TAR Model with Two Threshold Variables (2012) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54527
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