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The threshold autoregressive (TAR) model, which was proposedby Tong (1978) and comprehensively discussed by Tong and Lim(1980) and Tong (1983), is one of the nonlinear time seriesmodels. Tsay (1989) gives a widely applicable model-buildingprocedure for TAR models. He used some summary plots to identifythe number and locations of the thresholds. However, usingsupplementary graphic device to identify parameters is so subjective. Two methods are proposed for objectively locatingthe thresholds of TAR models with multiple regimes. One is based on the F test statistic by Tsay (1989) for nonlinearity test; the other is extended from Chen and Lee?1995) for two regimes. The test results of simulation and real data are quite encouraging.Related properties are also discussed.
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