Concepedia

Threshold Autoregressive Models

Threshold Autoregressive Models is a class of nonlinear time series models that extends autoregressive processes by introducing regime-switching behavior governed by threshold values of past observations, allowing the model dynamics to change based on whether a specified threshold variable falls within distinct intervals.

421

Publications

33.5K

Citations

668

Authors

438

Institutions

Publications per year

2017–2026

63

Parents

Publications

421

Sample Splitting and Threshold Estimation

Bruce E. Hansen · Econometrica · 2000 · 2.8K citations

, , +15

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

1–5 of 421

Authors

668

  1. HT
    Howell Tong

    London School of Economics and Political Science, United Kingdom

    11 publications · 739 citations

    11

    h-index

  2. KC
    Kung‐Sik Chan

    University of Iowa, United States

    11 publications · 2.6K citations

    11

    h-index

  3. BE
    Bruce E. Hansen

    University of Wisconsin–Madison, United States

    11 publications · 7.3K citations

    10

    h-index

  4. SL
    Shiqing Ling

    Hong Kong University of Science and Technology, Hong Kong SAR China

    10 publications · 674 citations

    10

    h-index

  5. SP
    Simon Potter

    Federal Reserve Bank of New York, United States

    9 publications · 625 citations

    9

    h-index

1–5 of 668

Institutions

438

  1. University of Hong Kong

    Pok Fu Lam, Hong Kong

    16 h-index

    27 publications

    2K citations

  2. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    11 h-index

    20 publications

    1.9K citations

  3. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    10 h-index

    14 publications

    770 citations

  4. Feng Chia University

    Taichung, Taiwan

    10 h-index

    14 publications

    635 citations

  5. University of Wisconsin–Madison

    Madison, United States

    7 h-index

    8 publications

    4.4K citations

  6. University of Chicago

    Chicago, United States

    7 h-index

    9 publications

    1.8K citations

  7. University of Iowa

    Iowa City, United States

    7 h-index

    7 publications

    411 citations

  8. University of Kent

    Canterbury, United Kingdom

    7 h-index

    8 publications

    909 citations

1–8 of 438

Venues

  1. Journal of Time Series Analysis

    26 publications · 1.9K citations

    19

    h-index

  2. 16

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 15 publications · 2.3K citations

    14

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 20 publications · 615 citations

    14

    h-index

  5. SSRN Electronic Journal

    Repository · 18 publications · 378 citations

    13

    h-index

1–5