THEORY AND APPLICATIONS OF TAR MODEL WITH TWO THRESHOLD VARIABLES

被引：31

作者：

Chen, Haiqiang ^{[3
]}

Chong, Terence Tai-Leung ^{[1
,2
]}

Bai, Jushan ^{[4
]}

机构：

[1] Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China

[2] Chinese Univ Hong Kong, Inst Global Econ & Finance, Hong Kong, Hong Kong, Peoples R China

[3] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Fujian, Peoples R China

[4] Columbia Univ, Dept Econ, New York, NY 10027 USA

来源：

ECONOMETRIC REVIEWS | 2012年 / 31卷 / 02期

关键词：

Bootstrapping; Likelihood ratio test; Misspecification; Threshold autoregressive model; LEAST-SQUARES ESTIMATOR; EXPECTED STOCK RETURNS; CROSS-SECTION; TIME-SERIES; AUTOREGRESSIVE MODELS; TRADING VOLUME; INFERENCE; CONSISTENCY; POINT;

D O I：

10.1080/07474938.2011.607100

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This article develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided.

引用

页码：142 / 170

页数：29

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