Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/07474938.2011.607100 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/6WOS source URL
其它资讯
摘要A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This article develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided.
着者Chen HQ, Chong TTL, Bai JS
期刊名称Econometric Reviews
出版年份2012
月份1
日期1
卷号31
期次2
出版社Taylor & Francis: STM, Behavioural Science and Public Health Titles
页次142 - 170
国际标準期刊号0747-4938
语言英式英语
关键词Bootstrapping; Likelihood ratio test; Misspecification; Threshold autoregressive model
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS; Statistics & Probability; STATISTICS & PROBABILITY
