Testing and modeling multivariate threshold models

Journal of the American Statistical Association

Volumn 93, Issue 443, 1998, Pages 1188-1202

  Tsay, Ruey S ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Akaike information criterion; Arranged autoregression; Model change; Nonlinearity test; Predictive residuals; Recursive least squares; Threshold cointegration

Indexed keywords

EID: 0032354661     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1998.10473779     Document Type: Article

References (18)

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