Predictive recursion maximum likelihood of threshold autoregressive model
© Springer International Publishing AG 2017. In the threshold model, it is often the case that an error distribution is not easy to specify, especially when the error has a mixture distribution. In such a situation, standard estimation yields biased results. Thus, this paper proposes a flexible semi...
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| Main Authors: | , , |
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| Format: | Book Series |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012910184&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40771 |
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| Institution: | Chiang Mai University |