Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year


IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

Online
ISSN
1558-3708
See all formats and pricing
More options …
Volume 2, Issue 1

Issues

Inference in TAR Models

Bruce E. Hansen
Published Online: 1997-04-01 | DOI: https://doi.org/10.2202/1558-3708.1024

A distribution theory is developed for least-squares estimates of the threshold in Threshold Autoregressive (TAR) models. We find that if we let the threshold effect (the difference in slopes between the two regimes) become small as the sample size increases, then the asymptotic distribution of the threshold estimator is free of nuisance parameters (up to scale). Similarly, the likelihood ratio statistic for testing hypotheses concerning the unknown threshold is asymptotically free of nuisance parameters. These asymptotic distributions are nonstandard, but are available in closed form, so critical values are readily available. To illustrate this theory, we report an application to the U.S. unemployment rate. We find statistically significant threshold effects.

This article offers supplementary material which is provided at the end of the article.

About the article

Published Online: 1997-04-01


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 2, Issue 1, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1024.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Paul M. Jones and Luke Collins
Applied Economics Letters, 2018, Page 1
[2]
Tommaso Proietti
Computational Statistics & Data Analysis, 2003, Volume 42, Number 3, Page 451
[3]
Jean-Pierre Allegret and Audrey Allegret
Applied Economics, 2018, Page 1
[5]
Matteo Lanzafame
Regional Studies, 2009, Volume 43, Number 8, Page 1001
[6]
Sipan Aslan, Ceylan Yozgatligil, and Cem Iyigun
Annals of Operations Research, 2017
[7]
Alastair R. Hall, Denise R. Osborn, and Nikolaos Sakkas
Econometric Reviews, 2017, Volume 36, Number 6-9, Page 667
[8]
Renée Fry-Mckibbin and Jasmine Zheng
Applied Economics, 2016, Volume 48, Number 59, Page 5802
[9]
Sergii Pypko
Journal of Risk and Financial Management, 2015, Volume 8, Number 3, Page 311
[10]
Dong Li, Shiqing Ling, and Rongmao Zhang
Journal of Business & Economic Statistics, 2016, Volume 34, Number 1, Page 68
[11]
Rafael González-Val and Jose Olmo
Spatial Economic Analysis, 2015, Volume 10, Number 2, Page 230
[12]
Rolando Gonzales Martínez
Ensayos sobre Política Económica, 2015, Volume 33, Number 76, Page 31
[13]
Seval Mutlu Çamoğlu, Teresa Serra, and José M. Gil
Applied Economics, 2015, Volume 47, Number 11, Page 1106
[14]
Stephen Norman and Douglas Wills
Applied Economics, 2015, Volume 47, Number 9, Page 928
[15]
Wai-Yip Alex Ho and James Yetman
Applied Economics, 2014, Volume 46, Number 35, Page 4267
[16]
TERENCE TAI-LEUNG CHONG, TAU-HING LAM, and MELVIN J. HINICH
Annals of Financial Economics, 2009, Volume 05, Number 01, Page 0950002
[17]
Rizki E. Wimanda
Journal of Economic Studies, 2014, Volume 41, Number 2, Page 196
[18]
Elena Olmedo
Computational Economics, 2014, Volume 43, Number 2, Page 183
[20]
TERENCE TAI-LEUNG CHONG and TAU-HING LAM
The Singapore Economic Review, 2013, Volume 58, Number 03, Page 1350019
[21]
Alexander Dentler, Gabriel Montes-Rojas, and Jose Olmo
Communications in Statistics - Theory and Methods, 2014, Volume 43, Number 1, Page 105
[23]
Stephen Norman and Kerk Phillips
Applied Financial Economics, 2013, Volume 23, Number 5, Page 363
[24]
Lonnie K Stevans
Quantitative Finance, 2004, Volume 4, Number 2, Page 191
[25]
Mercedes Alda and Luis Ferruz
Applied Economics Letters, 2012, Volume 19, Number 18, Page 1933
[26]
Antonio F. Galvao, Gabriel Montes-Rojas, and Jose Olmo
Applied Economics, 2013, Volume 45, Number 14, Page 1943
[27]
Sofiane H. Sekioua
International Review of Economics & Finance, 2006, Volume 15, Number 2, Page 164
[28]
Gilles Dufrénot, Dominique Guégan, and Anne Péguin-Feissolle
Journal of International Financial Markets, Institutions and Money, 2005, Volume 15, Number 5, Page 391
[29]
Daniel Hartmann, Bernd Kempa, and Christian Pierdzioch
Journal of Empirical Finance, 2008, Volume 15, Number 3, Page 468
[30]
Stelios D. Bekiros
Economics Letters, 2009, Volume 103, Number 1, Page 36
[32]
David S. Jacks
Explorations in Economic History, 2006, Volume 43, Number 3, Page 383
[33]
David S. Jacks
Explorations in Economic History, 2005, Volume 42, Number 3, Page 381
[34]
Alessandro Cologni and Matteo Manera
Economic Modelling, 2009, Volume 26, Number 1, Page 1
[35]
Gawon Yoon
Economic Modelling, 2009, Volume 26, Number 6, Page 1449
[36]
SZYMON WLAZLOWSKI, BIRGER NILSSON, JANE BINNER, MONICA GIULIETTI, and NATHAN JOSEPH
The Manchester School, 2012, Volume 80, Number 2, Page 145
[37]
Jozef Komorník, Magda Komorníková, Radko Mesiar, Danuša Szökeová, and Ján Szolgay
Physics and Chemistry of the Earth, Parts A/B/C, 2006, Volume 31, Number 18, Page 1127
[38]
Lucio Sarno, Mark P. Taylor, and Ibrahim Chowdhury
Journal of International Money and Finance, 2004, Volume 23, Number 1, Page 1
[39]
Stephen Norman
Journal of International Money and Finance, 2010, Volume 29, Number 5, Page 919
[40]
Jing Li
International Journal of Forecasting, 2011, Volume 27, Number 2, Page 320
[41]
Eduardo Levy Yeyati, Sergio L. Schmukler, and Neeltje Van Horen
Journal of Financial Intermediation, 2009, Volume 18, Number 3, Page 432
[42]
Wan-Chen Po and Bwo-Nung Huang
Physica A: Statistical Mechanics and its Applications, 2008, Volume 387, Number 22, Page 5535
[43]
Terence Tai-Leung Chong, Tau-Hing Lam, and Isabel Kit-Ming Yan
China Economic Review, 2012, Volume 23, Number 1, Page 122
[44]
Gary Madden, Aaron Morey, and Bill Theoharakis
Telecommunications Policy, 2012, Volume 36, Number 1, Page 82
[45]
Dick van Dijk, Philip Hans Franses, and Richard Paap
Journal of Econometrics, 2002, Volume 110, Number 2, Page 135
[46]
Jesús Gonzalo and Jean-Yves Pitarakis
Journal of Econometrics, 2002, Volume 110, Number 2, Page 319
[47]
Marine Carrasco
Journal of Econometrics, 2002, Volume 109, Number 2, Page 239
[48]
Elena Olmedo
Chaos, Solitons & Fractals, 2011, Volume 44, Number 12, Page 1045
[49]
Haiqiang Chen, Terence Tai-Leung Chong, and Jushan Bai
Econometric Reviews, 2012, Volume 31, Number 2, Page 142
[50]
Keith Warren, Raymond C Hawkins, and Julien C Sprott
Addictive Behaviors, 2003, Volume 28, Number 2, Page 369
[51]
Margherita Grasso and Matteo Manera
Energy Policy, 2007, Volume 35, Number 1, Page 156
[52]
Bwo-Nung Huang, M.J. Hwang, and C.W. Yang
Energy Policy, 2008, Volume 36, Number 2, Page 755
[53]
Albert J.F. Yang, William N. Trumbull, Chin Wei Yang, and Bwo‐Nung Huang
Defence and Peace Economics, 2011, Volume 22, Number 4, Page 449
[54]
Tiago M. T. Nunes and Paulo M. M. Rodrigues
International Journal of Finance & Economics, 2011, Volume 16, Number 4, Page 393
[55]
Dick van Dijk, Timo Teräsvirta, and Philip Hans Franses
Econometric Reviews, 2002, Volume 21, Number 1, Page 1
[56]
Keith Warren and Karen Knox
Journal of Social Service Research, 2000, Volume 27, Number 1, Page 1
[57]
Jerry Coakley and Ana-Maria Fuertes
Applied Financial Economics, 2002, Volume 12, Number 6, Page 379
[58]
Mustapha Baghli
Applied Economics, 2004, Volume 36, Number 6, Page 533
[59]
Keith Warren, Sean Newsome, and Brian Roe
Journal of Social Service Research, 2004, Volume 30, Number 4, Page 69
[60]
[61]
Hui Feng
Applied Economics Letters, 2011, Volume 18, Number 17, Page 1623
[62]
Chien‐Chiang Lee and Sheng‐Tung Chen
Defence and Peace Economics, 2007, Volume 18, Number 6, Page 537
[63]
Gilles Dufrénot, Dominique Guégan, and Anne Péguin-Feissolle
Applied Financial Economics, 2008, Volume 18, Number 7, Page 519
[64]
Pablo Mejía-Reyes, Denise R. Osborn, and Marianne Sensier
Applied Economics, 2010, Volume 42, Number 19, Page 2491
[66]
Zisimos Koustas and Jean-François Lamarche
Applied Economics, 2010, Volume 42, Number 2, Page 237
[67]
Terence Tai-Leung Chong and Tau-Hing Lam
Quantitative Finance, 2010, Volume 10, Number 9, Page 1067
[68]
[69]
Theis Lange, Anders Rahbek, and Søren Tolver Jensen
Econometric Reviews, 2011, Volume 30, Number 2, Page 129
[70]
J.-P. Chavas and A. Mehta
American Journal of Agricultural Economics, 2004, Volume 86, Number 4, Page 1078
[71]
Antonio F. Galvao Jr., Gabriel Montes-Rojas, and Jose Olmo
Journal of Time Series Analysis, 2011, Volume 32, Number 3, Page 253
[72]
HELLE BUNZEL and WALTER ENDERS
Journal of Money, Credit and Banking, 2010, Volume 42, Number 5, Page 931
[73]
Miguel Ángel Bermejo, Daniel Peña, and Ismael Sánchez
Journal of Forecasting, 2011, Volume 30, Number 1, Page 31
[74]
Afshin Honarvar
Computational Economics, 2010, Volume 36, Number 3, Page 237
[75]
JYH-LIN WU, PEI-FEN CHEN, and CHING-NUN LEE
The Manchester School, 2009, Volume 77, Number 3, Page 271
[76]
Nikolaos Giannellis and Athanasios P. Papadopoulos
Review of International Economics, 2010, Volume 18, Number 4, Page 741
[77]
Kenneth O. Cogger
Intelligent Systems in Accounting, Finance & Management, 2010, Volume 17, Number 1, Page 19
[78]
Oscar Claveria and Jordi Datzira
Tourism Review, 2010, Volume 65, Number 1, Page 18
[79]
Ellen L. Hamaker, Zhiyong Zhang, and Han L. J. van der Maas
Psychometrika, 2009, Volume 74, Number 4, Page 727
[80]
T. Serra, S. Stefanou, J. M. Gil, and A. Featherstone
European Review of Agricultural Economics, 2009, Volume 36, Number 1, Page 103
[81]
[82]
Martin Berka
Review of International Economics, 2009, Volume 17, Number 1, Page 51
[83]
Frédérique Bec, Anders Rahbek, and Neil Shephard
Oxford Bulletin of Economics and Statistics, 2008, Volume 70, Number 5, Page 583
[84]
Pei-Fen Chen and Chien-Chiang Lee
Agricultural Economics, 2008, Volume 39, Number 1, Page 123
[85]
Bob Baulch, Henrik Hansen, Le Dang Trung, and Tran Ngo Minh Tam
Journal of Agricultural Economics, 2008, Volume 59, Number 2, Page 271
[86]
W. Miles
The Journal of Real Estate Finance and Economics, 2008, Volume 36, Number 3, Page 249
[87]
Ginger M. Davis and Katherine B. Ensor
Journal of Time Series Analysis, 2007, Volume 28, Number 6, Page 867
[88]
Guglielmo Maria Caporale and Luis A. Gil-Alana
Oxford Bulletin of Economics and Statistics, 2007, Volume 69, Number 4, Page 521
[89]
Nicholas Taylor
European Financial Management, 2007, Volume 13, Number 1, Page 159
[90]
Birgit Strikholm and Timo Teräsvirta
The Econometrics Journal, 2006, Volume 9, Number 3, Page 472
[91]
Bruce Mizrach
Review of Quantitative Finance and Accounting, 2006, Volume 27, Number 4, Page 365
[92]
Teresa Serra, Barry K. Goodwin, José M. Gil, and Anthony Mancuso
Journal of Agricultural Economics, 2006, Volume 57, Number 3, Page 501
[93]
Zacharias Psaradakis and Fabio Spagnolo
Journal of Forecasting, 2005, Volume 24, Number 2, Page 119
[94]
Hyginus Leon and Serineh Najarian
International Journal of Finance & Economics, 2005, Volume 10, Number 1, Page 15
[95]
Michael P. Clements, Philip Hans Franses, Jeremy Smith, and Dick van Dijk
Journal of Forecasting, 2003, Volume 22, Number 5, Page 359
[96]
Dick Dijk and Philip Hans Franses
Oxford Bulletin of Economics and Statistics, 2003, Volume 65, Number s1, Page 727
[98]
Lonnie Stevans
Quantitative Finance, 2004, Volume 4, Number 2, Page 191

Comments (0)

Please log in or register to comment.
Log in