Subsampling inference in threshold autoregressive models

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dc.contributor.author Gonzalo, Jesús
dc.contributor.author Wolf, Michael
dc.date.accessioned 2008-12-02T13:36:03Z
dc.date.available 2008-12-02T13:36:03Z
dc.date.issued 2005
dc.identifier.bibliographicCitation Journal of Econometrics, n. 127, 2005, p. 201-224
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/3218
dc.description.abstract This paper discusses inference in self-exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous case, the limiting distribution is normal and standard inference is possible. In the discontinuous case, the limiting distribution is non-normal and it is not known how to estimate it consistently. We show that valid inference can be drawn by the use of the subsampling method. Moreover, the method can even be extended to situations where the (dis)continuity of the model is unknown. In this case, the inference for the regression parameters of the model also becomes difficult and subsampling can be used again. In addition, we consider an hypothesis test for the continuity of a SETAR model. A simulation study examines small sample performance and an application illustrates how the proposed methodology works in practice.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Confidence intervals
dc.subject.other Continuity
dc.subject.other Regime shifts
dc.subject.other Subsampling
dc.subject.other Threshold autoregressive models
dc.title Subsampling inference in threshold autoregressive models
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6VC0-4DGMV7J-3-1&_cdi=5940&_user=143961&_orig=browse&_coverDate=08%2F31%2F2005&_sk=998729997&view=c&wchp=dGLbVlb-zSkWW&md5=6e3b4344d88fcc3d394cfb3dff38eff3&ie=/sdarticle.pdf
dc.subject.jel c14
dc.subject.jel C15
dc.subject.jel C22
dc.subject.jel C32
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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