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Recursive Estimation and Testing of Dynamic Models

✍ Scribed by Juan Del Hoyo; J. Guillermo Llorente

Book ID
110267206
Publisher
Springer US
Year
2000
Tongue
English
Weight
90 KB
Volume
16
Category
Article
ISSN
1572-9974

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## 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 aut