Estimation and Model Selection Based Inference in Single and Multiple Threshold Models

42 Pages Posted: 8 Jun 2001 Last revised: 27 Feb 2011

See all articles by Jesús Gonzalo

Jesús Gonzalo

Universidad Carlos III de Madrid - Department of Statistics and Econometrics; Aarhus University - Department of Economics and Business Economics

Jean-Yves Pitarakis

University of Southampton - Division of Economics

Date Written: 2001

Abstract

This paper evaluates the properties of a joint and sequential estimation procedure for estimating the parameters of single and multiple threshold models. We initially proceed under the assumption that the number of regimes is known a priori but subsequently relax this assumption via the introduction of a model selection based procedure that allows the estimation of both the unknown parameters and their number to be performed jointly. Theoretical properties of the resulting estimators are derived and their finite sample properties investigated.

Keywords: Threshold Models, Non-Linear Models, Information Criteria, Model Selection

JEL Classification: C22, C50

Suggested Citation

Gonzalo Muñoz, Jesús and Pitarakis, Jean-Yves, Estimation and Model Selection Based Inference in Single and Multiple Threshold Models (2001). Journal of Econometrics, Vol. 110, No. 2, 2002, Available at SSRN: https://ssrn.com/abstract=271088 or http://dx.doi.org/10.2139/ssrn.271088

Jesús Gonzalo Muñoz

Universidad Carlos III de Madrid - Department of Statistics and Econometrics ( email )

c/ Madrid 126
Getafe (Madrid), 28903
Spain
34 + 91 624 9853 (Phone)
34 + 91 624 9849 (Fax)

Aarhus University - Department of Economics and Business Economics

Fuglesangs Allé 4
Aarhus V
Denmark

Jean-Yves Pitarakis (Contact Author)

University of Southampton - Division of Economics ( email )

Southampton, SO17 1BJ
United Kingdom
+44-23-80592631 (Phone)
+44-23-80593858 (Fax)

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