Estimation and model selection based inference in single and multiple threshold models
Estimation and model selection based inference in single and multiple threshold models
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.
threshold models, nonlinear models, information criteria, model selection
319-352
Gonzalo, Jesús
48015f9d-eef0-4ebd-8f2b-cbe7aa0cf667
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
2002
Gonzalo, Jesús
48015f9d-eef0-4ebd-8f2b-cbe7aa0cf667
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Gonzalo, Jesús and Pitarakis, Jean-Yves
(2002)
Estimation and model selection based inference in single and multiple threshold models.
Journal of Econometrics, 110 (2), .
(doi:10.1016/S0304-4076(02)00098-2).
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.
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Published date: 2002
Keywords:
threshold models, nonlinear models, information criteria, model selection
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Local EPrints ID: 33366
URI: http://eprints.soton.ac.uk/id/eprint/33366
ISSN: 0304-4076
PURE UUID: 0b60fa16-60ad-4b1d-bc6b-afe1ca8b4017
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Date deposited: 16 May 2006
Last modified: 16 Mar 2024 03:32
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Author:
Jesús Gonzalo
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