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Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models

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  • Wai-Cheung Ip

Abstract

We consider the testing and estimation of thresholds in heteroscedastic threshold autoregressive models with an unknown number of thresholds. A test statistic based on empirical wavelet coefficients is proposed. The asymptotic distribution of the test statistic is established and consistent estimators of the thresholds and the number of thresholds are given. A Monte Carlo study and a real example are used to assess the performance of our method. Copyright Biometrika Trust 2003, Oxford University Press.

Suggested Citation

  • Wai-Cheung Ip, 2003. "Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models," Biometrika, Biometrika Trust, vol. 90(3), pages 703-716, September.
    • Handle: RePEc:oup:biomet:v:90:y:2003:i:3:p:703-716
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    Cited by:

    1. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Post-Print halshs-00185372, HAL.
    2. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.

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