Theory and Applications of TAR Model with Two Threshold Variables
Terence Tai Leung Chong () and
Jushan Bai ()
MPRA Paper from University Library of Munich, Germany
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed
Published in Econometric Reviews 31.2(2012): pp. 142-170
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/54527/1/MPRA_paper_54527.pdf original version (application/pdf)
Journal Article: Theory and Applications of TAR Model with Two Threshold Variables (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54527
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().