Time-varying threshold regression model using the Kalman filter method
© 2016 by the Mathematical Association of Thailand. All rights reserved. This paper explores a model, called the time-varying in threshold model with two regimes and which allows the regression coeffcients to change over time. This model take the advantage of the Kalman filter allowing the parameter...
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| Main Authors: | , , , |
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| Format: | Journal |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008352105&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42237 |
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| Institution: | Chiang Mai University |