𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Identification of TAR models using recursive estimation

✍ Scribed by Miguel Ángel Bermejo; Daniel Peña; Ismael Sánchez

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
409 KB
Volume
30
Category
Article
ISSN
0277-6693

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time‐varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic identification of the thresholds, but also has a superior identification performance than the competitors. The performance of the proposed procedure is illustrated using Monte Carlo experiments and real data. Copyright © 2010 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Estimating structural macroeconomic shoc
Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification
✍ Mark P. Taylor 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 683 KB

## Abstract We demonstrate that a popular method of estimating underlying structural macroeconomic shocks and their impulse–response functions through recursive long‐run structural restrictions on a vector autoregressive representation is not uniquely identified. We show, however, that it may be po

Estimation of transport delay using para
Estimation of transport delay using parallel recursive modified Gram–Schmidt algorithm
✍ Jan Schier 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 146 KB

The paper describes a recursive algorithm for the estimation of transport delay. Based on the assumption that the delay is a discrete quantity with a finite number of values, the algorithm uses Bayesian probabilistic apparatus to test the probability of each possible value. The computation of probab

Identification and estimation of a class
Identification and estimation of a class of household production models
✍ Marcel Kerkhofs; Peter Kooreman 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 272 KB

## Abstract We consider a class of household production models characterized by a dichotomy property. In these models the amount of time spent on household production does not depend on the household utility function, conditional on household members having a paid job. We analyse the (non‐parametri

Estimation of a semiparametric recursive
Estimation of a semiparametric recursive bivariate probit model in the presence of endogeneity
✍ Giampiero Marra; Rosalba Radice 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 French ⚖ 255 KB

The classic recursive bivariate probit model is of particular interest to researchers since it allows for the estimation of the treatment effect that a binary endogenous variable has on a binary outcome in the presence of unobservables. In this article, the authors consider the semiparametric versio

Identification and estimation of discret
Identification and estimation of discrete state-vector models with stochastic inputs
✍ Pieter W. Otter 📂 Article 📅 1981 🏛 Elsevier Science 🌐 English ⚖ 233 KB

The study deals with the identification and estimation of the unknown parameters of an 'extended' statevector model, in which stochastic input variables are treated as 'state'-variables and the observed input-values as 'output'values of the model. A parameter identifiability criterion, based on Fis