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Threshold models in time series analysis—Some reflections

Journal of econometrics, 2015-12, Vol.189 (2), p.485-491

Tong, Howell

2015

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On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One

Journal of time series analysis, 2020-05, Vol.41 (3), p.406-420

2020

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Spatial price dynamics in the US vegetable sector

Agribusiness (New York, N.Y.), 2020, Vol.36 (1), p.59-78

2020

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The pass-through effect of interest rate and asymmetric adjustment in Indonesia

Ekonomichnyĭ chasopys, 2017-12, Vol.166 (7-8), p.61-66

2017

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Interest rate deregulation: Monetary policy efficacy and rate rigidity

Journal of banking & finance, 2010-06, Vol.34 (6), p.1299-1307

Chong, Beng Soon

2010

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Feature Matching in Time Series Modeling

Statistical science, 2011-02, Vol.26 (1), p.21-46

2011

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The validity of bootstrap testing for threshold autoregression

Journal of econometrics, 2024-02, Vol.239 (1), p.105379, Article 105379

2024

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Commodity price pass-through and inflation in Japan: a nonlinear time series analysis

Applied economics letters, 2023-12, p.1-4

Sekine, Atsushi

2023

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Multivariate threshold integer-valued autoregressive processes with explanatory variables

Applied mathematical modelling, 2023-12, Vol.124, p.142-166

2023

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A new threshold INAR(1) model based on modified negative binomial operator with random coefficient

Journal of statistical computation and simulation, 2024-04, Vol.94 (6), p.1236-1268

2024

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On MCMC sampling in self-exciting integer-valued threshold time series models

Computational statistics & data analysis, 2022-05, Vol.169, p.107410, Article 107410

2022

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Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility

AIMS mathematics, 2024-03, Vol.9 (5), p.11805-11832

2024

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Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Journal of econometrics, 2008-09, Vol.146 (1), p.146-161

Gospodinov, Nikolay

2008

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Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood

Communications in statistics. Simulation and computation, 2023-09, p.1-21

2023

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The “real” exchange rate regime in China since 2015′s exchange rate reform

Asia and the Global Economy, 2023-07, Vol.3 (2), p.100064, Article 100064

Chen, Jinzhao

2023

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Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price

Studies in nonlinear dynamics and econometrics, 2023-12

2023

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SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting

Machine learning, 2023-07, Vol.112 (7), p.2555-2591

2023

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High-Order Self-excited Threshold Integer-Valued Autoregressive Model: Estimation and Testing

Communications in mathematics and statistics, 2023-05

2023

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Prediction of Landslide Displacement Based on the Combined VMD-Stacked LSTM-TAR Model

Remote sensing (Basel, Switzerland), 2022-03, Vol.14 (5), p.1164

2022

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On the least squares estimation of multiple-regime threshold autoregressive models

Journal of econometrics, 2012-03, Vol.167 (1), p.240-253

2012

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The effects of small sample bias in Threshold Autoregressive models

Economics letters, 2008-10, Vol.101 (1), p.6-8

Ahmad, Yamin S.

2008

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A threshold modeling for nonlinear time series of counts: application to COVID-19 data

Test (Madrid, Spain), 2023-12, Vol.32 (4), p.1195-1229

2023

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Timing of tick size reduction: Threshold and smooth transition model analysis

Finance research letters, 2022-03, Vol.45, p.102142, Article 102142

2022

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顾及降雨影响的动态优化时滞时序GM(1, 2)模型在滑坡位移预测中的应用

Ce hui xue bao, 2022-10, Vol.51 (10), p.2183-2195

2022

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Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models

Journal of time series analysis, 2020-01, Vol.41 (1), p.163-172

2020

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Threshold models in time series analysis—Some reflections

On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One

Spatial price dynamics in the US vegetable sector

The pass-through effect of interest rate and asymmetric adjustment in Indonesia

Interest rate deregulation: Monetary policy efficacy and rate rigidity

Feature Matching in Time Series Modeling

The validity of bootstrap testing for threshold autoregression

Commodity price pass-through and inflation in Japan: a nonlinear time series analysis

Multivariate threshold integer-valued autoregressive processes with explanatory variables

A new threshold INAR(1) model based on modified negative binomial operator with random coefficient

On MCMC sampling in self-exciting integer-valued threshold time series models

Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood

The “real” exchange rate regime in China since 2015′s exchange rate reform

Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price

SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting

High-Order Self-excited Threshold Integer-Valued Autoregressive Model: Estimation and Testing

Prediction of Landslide Displacement Based on the Combined VMD-Stacked LSTM-TAR Model

On the least squares estimation of multiple-regime threshold autoregressive models

The effects of small sample bias in Threshold Autoregressive models

A threshold modeling for nonlinear time series of counts: application to COVID-19 data

Timing of tick size reduction: Threshold and smooth transition model analysis

顾及降雨影响的动态优化时滞时序GM(1, 2)模型在滑坡位移预测中的应用

Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models

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