On the least squares estimation of multiple-regime threshold autoregressive models-Reference-Cited by-同舟云学术

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

Published:2012-03 Issue:1 Volume:167 Page:240-253
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Li Dong,Ling Shiqing

Funder

Hong Kong Research Grants Commission Grants

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference45 articles.

1. The geometrical ergodicity of nonlinear autoregressive models;An;Statistica Sinica,1996

2. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003

3. Multiple structural change models: a simulation analysis;Bai,2006

4. Convergence of Probability Measures;Billingsley,1999

5. On the existence of stationary threshold autoregressive moving-average processes;Brockwell;Journal of Time Series Analysis,1992

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