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11/15/2022
Robust estimation for Threshold Autoregressive Moving-Average models
Threshold autoregressive moving-average (TARMA) models are popular in ti...
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02/18/2022
A multivariate extension of the Misspecification-Resistant Information Criterion
The Misspecification-Resistant Information Criterion (MRIC) proposed in ...
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12/31/2021
The validity of bootstrap testing in the threshold framework
We consider bootstrap-based testing for threshold effects in non-linear ...
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03/25/2021
Testing for threshold effects in the TARMA framework
We present supremum Lagrange Multiplier tests to compare a linear ARMA s...
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02/23/2020