On parameter estimation of threshold autoregressive models
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DOI: 10.1007/s11203-011-9064-0
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Cited by:
- P. Chigansky & Yu. Kutoyants, 2013. "Estimation in threshold autoregressive models with correlated innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(5), pages 959-992, October.
- Jean-Marc Le Caillec, 2021. "Threshold autoregressive model blind identification based on array clustering," Post-Print hal-03210735, HAL.
- Katleho Makatjane & Ntebogang Moroke & Diteboho Xaba, 2017. "Threshold Cointegration and Nonlinear Causality test between Inflation Rate and Repo Rate," Journal of Economics and Behavioral Studies, AMH International, vol. 9(3), pages 163-170.
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More about this item
Keywords
Bayesian estimator; Continuous-time diffusion; Compound Poisson process; Limit distribution; Limit likelihood ratio; Nonlinear threshold models; Primary 62G30; Secondary 62M10;All these keywords.
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