Model Selection in Threshold Models
โ 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
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
## Abstract This article introduces a novel framework for analysing longโhorizon forecasting of the near nonโstationary AR(1) model. Using the local to unity specification of the autoregressive parameter, I derive the asymptotic distributions of longโhorizon forecast errors both for the unrestricte