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Inference in TAR Models
Abstract
A distribution theory is developed for least-squares estimates of the threshold in Threshold Autoregressive (TAR) models. We find that if we let the threshold effect (the difference in slopes between the two regimes) become small as the sample size increases, then the asymptotic distribution of the threshold estimator is free of nuisance parameters (up to scale). Similarly, the likelihood ratio statistic for testing hypotheses concerning the unknown threshold is asymptotically free of nuisance parameters. These asymptotic distributions are nonstandard, but are available in closed form, so critical values are readily available. To illustrate this theory, we report an application to the U.S. unemployment rate. We find statistically significant threshold effects.
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Cites
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
Martín-Sanz, H., Tatsis, K., Dertimanis, V. K., Avendaño-Valencia, L. D., Brühwiler, E., & Chatzi, E. (2020) · Structure and Infrastructure Engineering · doi:10.1080/15732479.2019.1650079 · Cited by 22
Metadata
- Authors
- Hansen, B. E.
- Venue
- Studies in Nonlinear Dynamics & Econometrics
- Publisher
- Walter de Gruyter GmbH
- Published
- 1997-01-01
- Volume
- 2
- Issue
- 1
- ISSN
- 1081-1826 (ISSN-L)
- 1558-3708
- OpenAlex
- W2121490355
- Cited by
- 585
- References
- 1
- FWCI
- 12.30
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hansen, B. E. (1997). Inference in TAR Models. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.2202/1558-3708.1024
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