arXiv 4 Jun 2024 · Econometrics
arXiv:2406.02152 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a sequential test procedure for determining the number of regimes in nonlinear multivariate autoregressive models. The procedure relies on linearity and no additional nonlinearity tests for both multivariate smooth transition and threshold autoregressive models. We conduct a simulation study to evaluate the finite-sample properties of the proposed test in small samples. Our findings indicate that the test exhibits satisfactory size properties, with the rescaled version of the Lagrange Multiplier test statistics demonstrating the best performance in most simulation settings. The sequential procedure is also applied to two empirical cases, the US monthly interest rates and Icelandic river flows. In both cases, the detected number of regimes aligns well with the existing literature.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Tsay, R. S (1998) Testing and Modeling Multivariate Threshold Models | 1.000 | 9 | 3 | 100% |
| 2 | Strikholm, B. and Teräsvirta, T (2006) A sequential procedure for determining the number of regimes in a threshold autoregressive model | 1.000 | 8 | 4 | 100% |
| 3 | Camacho, M (2004) Vector smooth transition regression models for US GDP and the composite index of leading indicators | 1.000 | 8 | 4 | 100% |
| 4 | Luukkonen, R., Saikkonen, P., and Teräsvirta, T (1988) Testing Linearity Against Smooth Transition Autoregressive Models | 1.000 | 6 | 4 | 100% |
| 5 | Kheifets, I. L. and Saikkonen, P. J (2020) Stationarity and ergodicity of vector STAR models | 1.000 | 5 | 5 | 100% |
| 6 | Teräsvirta, T. and Yang, Y (2014) Specification, estimation and evaluation of vector smooth transition autoregressive models with applications | 1.000 | 5 | 3 | 100% |
| 7 | Teräsvirta, T. and Yang, Y (2014) Linearity and Misspecification Tests for Vector Smooth Transition Regression Models | 0.894 | 7 | 6 | 71% |
| 8 | Eitrheim, . and Teräsvirta, T (1996) Testing the adequacy of smooth transition autoregressive models | 0.737 | 3 | 3 | 67% |
| 9 | He, C., Teräsvirta, T., and González, A (2008) Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change | 0.737 | 3 | 2 | 100% |
| 10 | Davies, R. B (1987) Hypothesis Testing when a Nuisance Parameter is Present Only Under the Alternatives | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 40 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2406.19956 | 0.405 | 1 | 1 |