TESTING FOR THRESHOLD AUTOREGRESSION

被引：80
|
作者：
CHAN, KS
机构：
来源：
ANNALS OF STATISTICS | 1990年 / 18卷 / 04期
关键词：
D O I：
10.1214/aos/1176347886
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
引用
收藏
页码：1886 / 1894
页数：9
相关论文
共 50 条
  • [21] Forecasting and stress testing with quantile vector autoregression
    Chavleishvili, Sulkhan
    Manganelli, Simone
    JOURNAL OF APPLIED ECONOMETRICS, 2024, 39 (01) : 66 - 85
  • [22] On Testing the Symmetry of Innovation Distribution in Autoregression Schemes
    Boldin, M. V.
    Shabakaeva, A. R.
    MOSCOW UNIVERSITY MATHEMATICS BULLETIN, 2023, 78 (05) : 216 - 222
  • [23] HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION
    Lee, Jungyoon
    Phillips, Peter C. B.
    Rossi, Francesca
    ECONOMETRIC THEORY, 2024,
  • [24] Testing for rational bubbles in a coexplosive vector autoregression
    Engsted, Tom
    Nielsen, Bent
    ECONOMETRICS JOURNAL, 2012, 15 (02): : 226 - 254
  • [25] Testing for randomness in a random coefficient autoregression model
    Horvath, Lajos
    Trapani, Lorenzo
    JOURNAL OF ECONOMETRICS, 2019, 209 (02) : 338 - 352
  • [26] A COMPARISON OF LIKELIHOOD RATIO TEST AND CUSUM TEST FOR THRESHOLD AUTOREGRESSION
    MOEANADDIN, R
    TONG, H
    STATISTICIAN, 1988, 37 (02): : 213 - 225
  • [27] Modeling mechanism of economic growth using threshold autoregression models
    Magdalena Osińska
    Tadeusz Kufel
    Marcin Błażejowski
    Paweł Kufel
    Empirical Economics, 2020, 58 : 1381 - 1430
  • [28] Modeling mechanism of economic growth using threshold autoregression models
    Osinska, Magdalena
    Kufel, Tadeusz
    Blazejowski, Marcin
    Kufel, Pawel
    EMPIRICAL ECONOMICS, 2020, 58 (03) : 1381 - 1430
  • [29] Testing for a unit root in a nonlinear quantile autoregression framework
    Li, Haiqi
    Park, Sung Y.
    ECONOMETRIC REVIEWS, 2018, 37 (08) : 867 - 892
  • [30] Unit root quantile autoregression testing using covariates
    Galvao, Antonio F., Jr.
    JOURNAL OF ECONOMETRICS, 2009, 152 (02) : 165 - 178
12345