Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications

No abstract is available for this paper.

• Publication year

  2003

• Venue

  Unknown venue

• Publication date

  Unknown publication date

• Fields of study

  Economics

• Identifiers
  DOI 10.20955/WP.2003.024
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Nonlinear mean reversion in the term structure of interest rates

  2003cited by this paper
• Non‐linear Time Series Models in Empirical Finance

  2003cited by this paper
• Estimation and Model Selection Based Inference in Single and Multiple Threshold Models

  2002cited by this paper
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS

  2002cited by this paper
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

  2002cited by this paper
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

  2001cited by this paper
• Term Structure of Interest Rates with Regime Shifts

  2001cited by this paper
• Model Selection in Threshold Models

  2001cited by this paper
• Forecasting with smooth transition autoregressive models

  2000cited by this paper
• A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models

  1999cited by this paper
• Nonlinear Time Series Modeling: An Introduction

  1999cited by this paper
• Dynamic Asymmetries in U.S. Unemployment

  1999cited by this paper
• Forecasting Asymmetric Unemployment Rates

  1998cited by this paper
• Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates

  1998influential reference
• On forecasting SETAR processes

  1998cited by this paper
• Evaluating Density Forecasts with Applications to Financial Risk Management

  1998cited by this paper
• A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP

  1997cited by this paper
• The Performance of Alternative Forecasting Methods for SETAR Models

  1997cited by this paper
• Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited

  1997cited by this paper
• A floor and ceiling model of US output

  1997cited by this paper
• Nonlinear Interest Rate Dynamics and Implications for the Term Structure

  1996cited by this paper
• Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process

  1996cited by this paper
• Is the US business cycle asymmetric? Some further evidence

  1996cited by this paper
• Bayesian Analysis of Nonlinear Time Series Models with Threshold

  1996cited by this paper
• Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP

  1996cited by this paper
• Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis

  1996cited by this paper
• Modelling Economic Relationships with Smooth Transition Regressions

  1996cited by this paper
• Modelling Nonlinear Economic Relationships

  1995cited by this paper
• Testing Continuous-Time Models of the Spot Interest Rate

  1995influential reference
• A Nonlinear Approach to US GNP

  1995cited by this paper
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

  1994cited by this paper
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching

  1994cited by this paper
• Some advances in non‐linear and adaptive modelling in time‐series

  1994cited by this paper
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

  1992cited by this paper
• Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models

  1992cited by this paper
• Comparing Information in Forecasts from Econometric Models

  1990cited by this paper
• Testing and Modeling Threshold Autoregressive Processes

  1989cited by this paper
• FORECASTING EXPONENTIAL AUTOREGRESSIVE MODELS OF ORDER 1

  1989influential reference
• Practical Methods of Optimization

  1988cited by this paper
• Testing linearity against smooth transition autoregressive models

  1988cited by this paper
• The Informational Content of Ex Ante Forecasts

  1988cited by this paper
• Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates

  1988cited by this paper
• Practical methods of optimization; (2nd ed.)

  1987cited by this paper
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

  1986cited by this paper
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations

  1985influential reference
• Threshold models in non-linear time series analysis. Lecture notes in statistics, No.21

  1983cited by this paper
• Threshold Autoregression, Limit Cycles and Cyclical Data

  1980cited by this paper
• Hypothesis testing when a nuisance parameter is present only under the alternative

  1977cited by this paper
• A Threshold Model

  1974cited by this paper
• On the Kolmogorov-Smirnov Test for Normality with Mean and Variance Unknown

  1967cited by this paper

• Some New Results for Threshold AR(1) Models

  2011cites this paper
• Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting

  2006cites this paper
• Predicting Currency Crises with a Multiple Threshold-Variable Model

  2006cites this paper
• Threshold Models with Multiple Threshold Variables and Their Applications

  2005cites this paper
• The Use of Long-Run Restrictions for the Identification of Technology Shocks

  2003cites this paper