Threshold autoregression in economics

  title={Threshold autoregression in economics},
  author={Bruce E. Hansen},
The threshold autoregressive (TAR) model developed by Howell Tong has been enormously influential in economics. A simple illustration of the depth of this influence is to examine the recent edition of the graduate text Applied Econometric Time Series by Walter Enders [25] and observe that 60 pages of the text are devoted to nonlinear time series models, with the bulk devoted to TAR models. My goal in this paper is to document the influence of Howell Tong’s TAR model in the fields of… CONTINUE READING