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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/5954
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| Title: | Graphical identification of TAR models |
| Author(s): | Bermejo, Miguel Ángel
Peña, Daniel
Sánchez, Ismael |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Dec-2009 |
| URI: | http://hdl.handle.net/10016/5954 |
| 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. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
09-23 |
| Keywords: | Nonlinear time series
Recursive estimation
Arranged autoregression
TAR models
Nonlinearity test |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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