Similar Search Results

Estimation and inference of threshold regression models with measurement errors

Chong, Terence Tai-Leung; Chen, Haiqiang; Wong, Tsz-Nga; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011897392

Buffered vector error-correction models : an application to the U.S. Treasury bond rates

Lu, Renjie; Yu, Philip L. H. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 267-287

Persistent link: https://www.econbiz.de/10012806530

Estimation and inference for the threshold model with hybrid stochastic local unit root regressors

Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of nonstationary regressors and to obtain its limiting...

Persistent link: https://www.econbiz.de/10013273589

Testing for structural change of predictive regression model to threshold predictive regression model

Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 228-240

Persistent link: https://www.econbiz.de/10013540808