Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56371 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 578
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the proposed method. Tests available for testing the adequacy of a smooth transition autoregressive model are applied sequentially to determine the number of regimes. A simulation study is performed in order to find out the finite-sample properties of the procedure and to compare it with two other procedures available in the literature. We find that our method works reasonably well for both single and multiple threshold models.
Schlagwörter: 
Model specification
model selection criterion
nonlinear modelling
sequential testing
switching regression
JEL: 
C22
C51
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
397.38 kB





Publikationen in EconStor sind urheberrechtlich geschützt.