Subsampling inference in threshold autoregressive models

By J. Gonzalo, Michael Wolf. 2005

105 citations recorded by the source corpus.

This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous case, the limiting distribution is normal and standard inference is possible. In the discontinuous case, the limiting distribution is non-normal and cannot be estimated consistently. We show valid inference can be drawn by the use of the subsampling method. Moreover, the method can even be extended to situations where the (dis)continuity of the model is unknown. In this case, also the inference for the regression parameters of the model becomes difficult and subsampling can be used advantageously there as well. In addition, we consider an hypothesis test for the continuity of the SETAR model. A simulation study examines small sample performance.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bc682dda057a0ef73d763d147d059b8e2855d3bf

How researchers see this paper

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

In Finance

In Statistics and Probability

Citations in the corpus

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “We also derive asymptotic distributions for the smoothed least squares estimation of threshold cointegration.”
Threshold cointegration: overview and implementation in R (2013, methodology): “13 Gonzalo and Wolf (2005) use a subsampling procedure to obtain conﬁdence intervals for the threshold.”
STRUCTURAL THRESHOLD REGRESSION (2016, methodology): “Our research is related to several recent papers in the literature; see for example Hansen (2000), Caner and Hansen (2004), Seo and Linton (2007), Gonzalo and Wolf (2005), and Yu (2012, 2013a).”
Generalised Density Forecast Combinations (2015, unknown): “A way forward has been proposed by Gonzalo & Wolf (2005) who use subsampling to carry out inference for the boundary parameters of a TAR model.”
Nested sub-sample search algorithm for estimation of threshold models (2016, background): “Gonzalo and Wolf (2005) considered subsampling inference of threshold models and massive computations are needed in the choice of the block size.”
A Smoothed Least Squares Estimator for Threshold Regression Models (2007, background): “Hansen (2000) brought many of those applications to the attention of econometricians.”
Threshold autoregression in economics (2011, methodology): “To improve on Hansen's asymptotic approximation, Gonzalo and Wolf [34] propose a subsampling procedure.”
Fixed-Effect Panel Threshold Model using Stata (2015, methodology): “Gonzalo and Wolf (2005) proposed to use a subsampling method—like that introduced by Politis, Romano, and Wolf (1999)—to improve the ﬁnite-sample performance of the threshold estimator in the self-exciting TAR model.”