Concepedia

Threshold Autoregression

Threshold Autoregression is a nonlinear time series model that extends the autoregressive framework by allowing regime switches in the dynamics of the process based on the value of a threshold variable, thereby capturing asymmetric behavior across different states of the system.

190

Publications

18.3K

Citations

292

Authors

205

Institutions

Publications per year

2017–2026

26

Variants

Tar

Parents

Publications

190

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

Bruce E. Hansen · Econometrica · 1996 · 2.3K citations

, , +15

Testing linearity against smooth transition autoregressive models

Ritva Luukkonen, Pentti Saikkonen, Timo Teräsvirta · Biometrika · 1988 · 1.3K citations

, , +12

Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model

Kung‐Sik Chan · The Annals of Statistics · 1993 · 1.3K citations · Full text

, , +15

Threshold Autoregression, Limit Cycles and Cyclical Data

H. Tong, K. S. Lim · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1980 · 1.3K citations

, , +16

Testing and Modeling Threshold Autoregressive Processes

Ruey S. Tsay · Journal of the American Statistical Association · 1989 · 910 citations

, , +15

1–5 of 190

Authors

292

  1. HT
    Howell Tong

    London School of Economics and Political Science, United Kingdom

    9 publications · 536 citations

    9

    h-index

  2. KC
    Kung‐Sik Chan

    University of Iowa, United States

    9 publications · 2.5K citations

    9

    h-index

  3. BE
    Bruce E. Hansen

    University of Wisconsin–Madison, United States

    8 publications · 4K citations

    8

    h-index

  4. CW
    Cathy W. S. Chen

    Feng Chia University, Taiwan

    6 publications · 292 citations

    6

    h-index

  5. DW
    Dehui Wang

    Jilin University, China

    6 publications · 199 citations

    6

    h-index

1–5 of 292

Institutions

205

  1. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    11 h-index

    20 publications

    1.9K citations

  2. University of Hong Kong

    Pok Fu Lam, Hong Kong

    9 h-index

    11 publications

    459 citations

  3. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    7 h-index

    11 publications

    470 citations

  4. Feng Chia University

    Taichung, Taiwan

    6 h-index

    10 publications

    504 citations

  5. Jilin University

    Changchun, China

    6 h-index

    16 publications

    544 citations

  6. University of Iowa

    Iowa City, United States

    5 h-index

    5 publications

    325 citations

  7. International Monetary Fund

    Washington D.C., United States

    5 h-index

    8 publications

    180 citations

  8. University of Kent

    Canterbury, United Kingdom

    5 h-index

    6 publications

    804 citations

1–8 of 205

Venues

  1. Journal of Time Series Analysis

    14 publications · 1.2K citations

    13

    h-index

  2. SSRN Electronic Journal

    Repository · 10 publications · 177 citations

    10

    h-index

  3. Journal of Econometrics

    9 publications · 510 citations

    9

    h-index

  4. Biometrika

    8 publications · 2K citations

    8

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 7 publications · 157 citations

    7

    h-index

1–5