ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- 14 May 1986
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 7 (3) , 179-190
- https://doi.org/10.1111/j.1467-9892.1986.tb00501.x
Abstract
The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least‐squares estimate may be obtained. Artificial and real data are used for illustrations.Keywords
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