LASSO estimation of threshold autoregressive models

By Ngai Hang Chan, Chun Yip Yau, Rongmao Zhang. 2015

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0ba6326972422a39ac5d3847b4bd11421a7ac687

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Howell Tong
2. Dong Li
3. Luc Anselin
4. Harry H. Kelejian

In Finance

1. Howell Tong
2. Dong Li

In Statistics and Probability

1. Howell Tong
2. Dong Li

Citations in the corpus

• Nested sub-sample search algorithm for estimation of threshold models (2016, methodology): “More recently, Chan, Yau, and Zhang (2015) has adopted the LASSO method to estimate TAR models with multiple thresholds, with promising results.”