Theory and Applications of TAR Model with Two Threshold Variables
针对现有阈值模型大多只含一个阈值变量的局限，本文开发了包含两个阈值变量的新自回归模型，并提出了似然比检验来确定模型中的机制数量，通过有限样本性能评估和实证应用展示了其有效性。
A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Most of these models, however, contain a single threshold variable only. In many empirical applications, models with two or more threshold variables are needed. This article develops a new threshold autoregressive model which contains two threshold variables. A likelihood ratio test is proposed to determine the number of regimes in the model. The finite-sample performance of the estimators is evaluated and an empirical application is provided.