Sequential procedure for determining the number of regimes in a threshold autoregressive model
Strikholm, Birgit and Terasvirta, Timo
Sequential procedure for determining the number of regimes in a threshold autoregressive model J5711 2006 - 2006 - 472-491 V. 09 Issue. 3
Econometrics
Model specification;Model selection criterion;Nonlinear modelling;Sequential testing;Switching regression;
Sequential procedure for determining the number of regimes in a threshold autoregressive model J5711 2006 - 2006 - 472-491 V. 09 Issue. 3
Econometrics
Model specification;Model selection criterion;Nonlinear modelling;Sequential testing;Switching regression;