Estimation and model selection based inference in single and multiple threshold models


Gonzalo, Jesús and Pitarakis, Jean-Yves (2002) Estimation and model selection based inference in single and multiple threshold models. Journal of Econometrics, 110, (2), 319-352. (doi:10.1016/S0304-4076(02)00098-2).

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Description/Abstract

This paper evaluates the properties of a joint and sequential estimation procedure for estimating the parameters of single and multiple threshold models. We initially proceed under the assumption that the number of regimes is known á priori but subsequently relax this assumption via the introduction of a model selection based procedure that allows the estimation of both the unknown parameters and their number to be performed jointly. Theoretical properties of the resulting estimators are derived and their finite sample properties investigated.

Item Type: Article
ISSNs: 0304-4076 (print)
Related URLs:
Keywords: threshold models, nonlinear models, information criteria, model selection
Subjects: H Social Sciences > HB Economic Theory
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33366
Date Deposited: 16 May 2006
Last Modified: 27 Mar 2014 18:20
Contact Email Address: j.pitarakis@rdg.ac.uk
URI: http://eprints.soton.ac.uk/id/eprint/33366

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