Threshold variable selection by wavelets in open-loop threshold autoregressive models

Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coefficients of the data are defined. The time delay and thresholds are detected and then estimated by checking the variation of the empirical wavelet coefficients. All the estimators are shown to be consistent.

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Year of publication:	1999
Authors:	Ip, Wai-Cheung ; Wong, Heung ; Li, Yuan ; Xie, Zhongjie
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 42.1999, 4, p. 375-392
Publisher:	Elsevier
Subject:	Time delay Thresholds Wavelets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138207