Search Results - subject:"Threshold Autoregressive Model"

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A Monte Carlo study of the forecasting performance of empirical SETAR models

Clements, Michael P.; Smith, Jeremy - In: Journal of applied econometrics 14 (1999) 2, pp. 123-141

Persistent link: https://www.econbiz.de/10001387355

Forecast performance of threshold autoregressive models : a Monte Carlo study

Aydemir, Abdurrahman - 1998

Persistent link: https://www.econbiz.de/10001455790

Power Properties of Linearity Tests for Time Series

Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

This paper examines the power properties of several linearity tests applied in time series analysis. The tests are the ones Lee et al. (1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results...

Persistent link: https://www.econbiz.de/10005649207

Regional Competitiveness in Fresh Produce Markets: Exploring Seasonal Dynamics and the Role of Energy Costs in Apple Markets

Hu, Wenjing; Thilmany McFadden, Dawn; Pendell, Dustin L. - Northeastern Agricultural and Resource Economics …

variable threshold autoregressive model that allows threshold bands (which define price ranges considered in shipping decisions …

Persistent link: https://www.econbiz.de/10011082870