Construct · 1 fields · 1 citations

threshold autoregression: a standalone construct

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Econometrics

a time-series model that switches between autoregressive regimes depending on whether a variable crosses a threshold.

In econometrics, threshold autoregression refers to a time-series model that switches between autoregressive regimes depending on whether a variable crosses a threshold. This meaning comes from Tong (1980) in Journal of the Royal Statistical Society Series B: Statistical Methodology.[1]

Unit
Recovery means
Measured by

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Nearby constructs

model3 fields · 3 citationsjingle · one word, three constructs series3 fields · 3 citationsjingle · one word, three constructs threshold5 fields · 6 citationsjingle · one word, five constructs

References

Tong, H., & Lim, K. S. (1980). Threshold Autoregression, Limit Cycles and Cyclical Data. Journal of the Royal Statistical Society Series B: Statistical Methodology, 42(3), 245-268. https://doi.org/10.1111/j.2517-6161.1980.tb01126.x

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