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Graphical identification of TAR models

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  • Sánchez, Ismael

Abstract

This paper proposes an automatic procedure to identify Threshold Autoregressive models and specify the threshold values. The proposed procedure is based on recursive estimation of arranged autoregression. The main advantage of the proposed procedure over its competitors is that the threshold values are automatically detected. The performance of the proposed procedure is evaluated using simulations and real data.

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  • Sánchez, Ismael, 2009. "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS ws097723, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws097723
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    Keywords

    Nonlinear time series;

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