๐”– Bobbio Scriptorium
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Model Selection in Threshold Models

โœ Scribed by George Kapetanios


Book ID
108549486
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
253 KB
Volume
22
Category
Article
ISSN
0143-9782

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๐Ÿ“œ SIMILAR VOLUMES


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Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coe cients of the data are deรฟned. The time delay and thresholds are detected and then estimated by checking the variation of the empi

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## Abstract This article introduces a novel framework for analysing longโ€horizon forecasting of the near nonโ€stationary AR(1) model. Using the local to unity specification of the autoregressive parameter, I derive the asymptotic distributions of longโ€horizon forecast errors both for the unrestricte