Threshold models in time series analysis : some reflections

Howell Tong (London School of Economics & Political Science, United Kingdom)

Year of publication:	December 2015
Authors:	Tong, Howell
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 485-491
Subject:	All-step-ahead prediction \| Asymmetry \| Bayesian decision \| Business cycle \| Catastrophe \| Conditionally heteroscedastic autoregressive models with thresholds \| GARCH model \| Hidden Markov chain \| Hysteresis \| Jump resonance \| Markov switching model \| Mis-specified model \| Mixture of distributions \| Non-likelihood approach \| Nonlinear unit root \| Non-stationarity \| Open-loop system \| Panel threshold model \| Positive-valued time series \| Smooth threshold autoregressive models \| Splines \| Stochastic volatility \| Structural breaks \| Threshold autoregressive models \| Threshold moving average models \| Threshold principle \| Threshold unit root \| Volatility \| Wrong model \| Zeitreihenanalyse \| Time series analysis \| Volatilität \| ARCH-Modell \| ARCH model \| Markov-Kette \| Markov chain \| Schätzung \| Estimation \| Autokorrelation \| Autocorrelation \| Nichtlineare Regression \| Nonlinear regression \| Einheitswurzeltest \| Unit root test \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Strukturbruch \| Structural break \| Hysterese

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.jeconom.2015.03.039 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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