Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005
), Medeiros et al. (2002),
among others.
In most economic applications of the TAR model, economic theory is not
specific about the … asymptotic theory for inference. Hansen (1999a) suggested a sequential
testing approach to the regime selection problem. This … theory, in
full control of the significance level of each test in the sequence. A potential
disadvantage of Hansen’s tests …