SETAR (model)

Known as: Setar (disambiguation) 
In statistics, Self-Exciting Threshold AutoRegressive (SETAR) models are typically applied to time series data as an extension of autoregressive… (More)
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Topic mentions per year

Topic mentions per year

1997-2016
01219972016

Papers overview

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2016
2016
Themain objective of this study is to evaluate some alternatives to estimate tourism arrivals under the presence of structural… (More)
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2015
2015
This paper develops a new self-excited threshold autoregressive model (SETAR) for US equity Index returns modeling and analysis… (More)
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2014
2014
In this paper we suggest the use of robust GM-SETAR (Self Exciting Threshold AutoRegressive) processes to model and forecast… (More)
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2006
2006
This paper presents a 2-regime SETAR model with different longmemory processes in both regimes. We briefly present the memory… (More)
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2003
2003
This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the… (More)
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2003
2003
1 Setting the Scene . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 2 Measuring the Cycle… (More)
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2002
2002
In this paper we investigate the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data… (More)
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1999
1999
We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR model. A… (More)
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1997
1997
In this paper we investigate the multi-period forecast performance of a number of empirical selfexciting threshold autoregressive… (More)
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1997
1997
We compare a number of methods that have been proposed in the literature for obtaining h-step ahead minimum mean square error… (More)
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