RT Journal Article
T1 Estimation and model selection based inference in single and multiple threshold models
A1 Gonzalo, Jesús
A1 Pitarakis, Jean-Yves
AB This paper evaluates the properties of a joint and sequential estimation procedure for estimating the parameters of single and multiple threshold models. We initially proceed under the assumption that the number of regimes is known á priori but subsequently relax this assumption via the introduction of a model selection based procedure that allows the estimation of both the unknown parameters and their number to be performed jointly. Theoretical properties of the resulting estimators are derived and their finite sample properties investigated.
PB Elsevier
SN 0304-4076
YR 2002
FD 2002-10
LK https://hdl.handle.net/10016/766
UL https://hdl.handle.net/10016/766
LA eng
LA eng
DS e-Archivo
RD 5 may. 2024