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Identification of TAR Models Using Recursive Estimation
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DOI：10.1002/for.1188.png)
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This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time-varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic identification of the thresholds, but also has a superior identification performance than the competitors. The performance of the proposed procedure is illustrated using Monte Carlo experiments and real data. Copyright (C) 2010 John Wiley & Sons, Ltd.
Keyword:
nonlinear time series
recursive estimation
arranged autoregression
TAR models
nonlinearity tests
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