Subsampling inference in threshold autoregressive models

Journal of Econometrics

Volumn 127, Issue 2, 2005, Pages 201-224

  Gonzalo, Jesús ^a   Wolf, Michael ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

Author keywords

Confidence intervals; Continuity; Regime shifts; Subsampling; Threshold autoregressive models

Indexed keywords

CHAOS THEORY; COMPUTER SIMULATION; FUNCTIONS; MATHEMATICAL MODELS; SAMPLING; TIME SERIES ANALYSIS;

CONFIDENCE INTERVALS; CONTINUITY; REGIME SHIFTS; SUBSAMPLING; THRESHOLD AUTOREGRESSIVE MODELS;

REGRESSION ANALYSIS;

EID: 19744367522     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.004     Document Type: Article

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