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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), pp. 319-352. (doi:10.1016/S0304-4076(02)00098-2).

Record type: Article


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


Local EPrints ID: 33366
ISSN: 0304-4076
PURE UUID: 0b60fa16-60ad-4b1d-bc6b-afe1ca8b4017

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Date deposited: 16 May 2006
Last modified: 17 Jul 2017 15:53

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Author: Jesús Gonzalo
Author: Jean-Yves Pitarakis

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