A sequential procedure for determining the number of regimes in a threshold autoregressive model

Econometrics Journal

Volumn 9, Issue 3, 2006, Pages 472-491

  Strikholm, Birgit ^a   Teräsvirta, Timo ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Model selection criterion; Model specification; Nonlinear modelling; Sequential testing; Switching regression

Indexed keywords

EID: 33750459754     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2006.00194.x     Document Type: Article

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