The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Threshold Models

  • Timo Teräsvirta
Reference work entry


This article contains a short account of threshold, smooth transition and Markov switching autoregressive models. Neural network models are highlighted as well. Linearity testing, parameter estimation and, more generally, modelling are considered. Forecasting with threshold models receives attention. Suggestions for further reading are supplied.


ARIMA models Artificial neural network models Asymmetric behaviour Forecasting Identification Likelihood Linear models Logistic smooth transition regression models Markov chains Markov-switching models Maximum likelihood Modelling Purchasing power parity Regression error specification test Smooth transition regression models Switching regression models Threshold autoregressive models Threshold models 

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Timo Teräsvirta
    • 1
  1. 1.