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Threshold models in time series analysis—Some reflections

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  • Tong, Howell
Abstract
In this paper, I reflect on the developments of the threshold model in time series analysis since its birth in 1978, with particular reference to econometrics.

Suggested Citation

  • Tong, Howell, 2015. "Threshold models in time series analysis—Some reflections," Journal of Econometrics, Elsevier, vol. 189(2), pages 485-491.
    • Handle: RePEc:eee:econom:v:189:y:2015:i:2:p:485-491
    DOI: 10.1016/j.jeconom.2015.03.039
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    References listed on IDEAS

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    9. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
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    13. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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    Cited by:

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    2. Lv, Wendai, 2018. "Does the OVX matter for volatility forecasting? Evidence from the crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 916-922.
    3. Glen Livingston Jr & Darfiana Nur, 2020. "Bayesian estimation and model selection of a multivariate smooth transition autoregressive model," Environmetrics, John Wiley & Sons, Ltd., vol. 31(6), September.
    4. Kaiji Motegi & Xiaojing Cai & Shigeyuki Hamori & Haifeng Xu, 2020. "Moving average threshold heterogeneous autoregressive (MAT‐HAR) models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1035-1042, November.
    5. Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Working Papers hal-01669082, HAL.
    6. Srivastava, Dinesh Kumar & Bharadwaj, Muralikrishna & Kapur, Tarrung & Trehan, Ragini, 2021. "Examining sustainability of government debt in India: post Covid prospects," MPRA Paper 108342, University Library of Munich, Germany.
    7. Bruce E. Hansen, 1996. "Estimation of TAR Models," Boston College Working Papers in Economics 325., Boston College Department of Economics.
    8. Barrales-Ruiz, Jose & Mohammed, Mikidadu, 2021. "Financial regimes and oil prices," Resources Policy, Elsevier, vol. 74(C).
    9. Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.
    10. Antoine Lejay & Paolo Pigato, 2019. "A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
    11. Glen Livingston & Darfiana Nur, 2020. "Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models," Statistical Papers, Springer, vol. 61(6), pages 2449-2482, December.
    12. Darko B. Vuković & Moinak Maiti & Marko D. Petrović, 2023. "Tourism Employment and Economic Growth: Dynamic Panel Threshold Analysis," Mathematics, MDPI, vol. 11(5), pages 1-14, February.
    13. Bo Pieter Johannes Andree & Francisco Blasques & Eric Koomen, 2017. "Smooth Transition Spatial Autoregressive Models," Tinbergen Institute Discussion Papers 17-050/III, Tinbergen Institute.

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