The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Threshold Models

  • Timo Teräsvirta
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2704

Abstract

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.

Keywords

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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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Timo Teräsvirta
    • 1
  1. 1.