Ng, Man-Wai; Chan, Wai-Sum - In: Journal of Forecasting 23 (2004) 3, pp. 215-231
In recent years there has been a growing interest in exploiting potential forecast gains from the non-linear structure of self-exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR-type...