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Theory and Applications of TAR Model with Two Threshold Varialbles

Id：2152 Date：20131014 Status：published ClickTimes：
作者Haiqiang Chen, Terence Tai-Leung Chong, Jushan Bai
正文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.
JEL-Codes：C22.
关键词：Bootstrapping; Likelihood ratio test; Misspecification; Threshold autoregressive model.
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