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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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