Estimation of Multiple-Regime Threshold Autoregressive Models With Structural Breaks
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DOI: 10.1080/01621459.2014.954706
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References listed on IDEAS
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Cited by:
- Jeffrey Frankel, 2023.
"Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes,"
CID Working Papers
429, Center for International Development at Harvard University.
- Jeffrey A. Frankel & Yao Hou & Danxia Xie, 2024. "Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes," NBER Working Papers 32644, National Bureau of Economic Research, Inc.
- Chih‐Hao Chang & Kam‐Fai Wong & Wei‐Yee Lim, 2023. "Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(1), pages 4-47, February.
- Victor V. Konev & Sergey E. Vorobeychikov, 2022. "Fixed accuracy estimation of parameters in a threshold autoregressive model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 685-711, August.
- Varun Agiwal & Jitendra Kumar, 2020. "Bayesian estimation for threshold autoregressive model with multiple structural breaks," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 361-382, December.
- Muhammad Jaffri Mohd Nasir & Ramzan Nazim Khan & Gopalan Nair & Darfiana Nur, 2024. "Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model," Statistical Papers, Springer, vol. 65(5), pages 2973-3006, July.
- Domenico Cucina & Manuel Rizzo & Eugen Ursu, 2018. "Identification of multiregime periodic autotregressive models by genetic algorithms," Post-Print hal-03187870, HAL.
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