Statistics and Its Interface

Volume 4 (2011)

Number 2

Threshold autoregression in economics

Pages: 123 – 127

DOI: http://dx.doi.org/10.4310/SII.2011.v4.n2.a4

Author

Bruce E. Hansen (Department of Economics, University of Wisconsin, Madison, Wi., U.S.A.)

Abstract

The impact of Howell Tong’s threshold autoregressive (TAR) model in the fields of econometrics and economics is documented by a review of the enormous literature.

Keywords

TAR, SETAR

2010 Mathematics Subject Classification

62M10, 62P20

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