Threshold autoregression in economics

By B. Hansen. 2011

251 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f3f9932d273727a19950d09c3fd4f1f9ecc17a2f

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In Economics and Econometrics

Citations in the corpus

Dynamic panels with threshold effect and endogeneity (2016, unknown): “See also Hansen (2011) for an extensive survey.”
Threshold Regression With a Threshold Boundary (2020, background): “Many other important applications of the threshold model in time series were summarized in Hansen (2011).”
A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model (2020, background): “McKibbin and Fernando (2020) explore the global macroeconomic effects of different scenarios of how Covid-19 might evolve in the year ahead using a hybrid DSGE/CGE model.”
Nested sub-sample search algorithm for estimation of threshold models (2016, background): “Recently Hansen (2011) has provided a fairly comprehensive review of the impacts of TAR models on econometrics and economics by reference to 75 influential papers published in the literature.”
Threshold models in time series analysis—Some reflections (2015, background): “Hansen (2011) has given an extensive review of threshold autoregression in economics by reference to 75 papers published in the econometrics and economics literatures, many of which are themselves highly cited. Stenseth (2009) has summarized the importance of the threshold autoregressive model for u”
Threshold Regression with Endogeneity (2017, unknown): “From Hansen (1982), G0 (1)G 1 is the optimal asymptotic variance under moment conditions (9) with 0 known. Actually, according to Yu (2008), the GMM estimator is semiparametrically e¢ cient even when 0 is unknown and the estimate b is used, as long as the loss function imposed on ( 0; 0)0 and is add”
Personal income inequality and aggregate demand (2016, background): “See Hansen (2011) for a survey of such developments applied to economics.”