Testing for structural change of AR model to threshold AR models

István Berkes; Lajos Horvath; S. Ling; Johannes Schauer

Testing for structural change of AR model to threshold AR models

István Berkes, Lajos Horvath, S. Ling, Johannes Schauer

Institute of Statistics (5060)

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	547-565
Journal	Journal of Time Series Analysis
Volume	32
Issue number	5
Publication status	Published - 2011

Fields of Expertise

Information, Communication & Computing

Treatment code (Nähere Zuordnung)

Basic - Fundamental (Grundlagenforschung)

Cite this

@article{f92557bec4be4e79948189a3a36249c4,

title = "Testing for structural change of AR model to threshold AR models",

author = "Istv{\'a}n Berkes and Lajos Horvath and S. Ling and Johannes Schauer",

year = "2011",

language = "English",

volume = "32",

pages = "547--565",

journal = "Journal of Time Series Analysis",

issn = "0143-9782",

publisher = "Wiley-Blackwell",

number = "5",

}

TY - JOUR

T1 - Testing for structural change of AR model to threshold AR models

AU - Berkes, István

AU - Horvath, Lajos

AU - Ling, S.

AU - Schauer, Johannes

PY - 2011

Y1 - 2011

UR - http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9892.2010.00714.x/abstract

M3 - Article

SN - 0143-9782

VL - 32

SP - 547

EP - 565

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 5

ER -

Testing for structural change of AR model to threshold AR models

Fields of Expertise

Treatment code (Nähere Zuordnung)

Other files and links

Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Cite this

Testing for structural change of AR model to threshold AR models

Fields of Expertise

Treatment code (Nähere Zuordnung)

Other files and links

Projects

Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Cite this