Lecture 15 – Threshold AutoregressionsIII讲座15–门限自回归III.docVIP

Lecture 15 – Threshold Autoregressions: III Inference on the threshold parameters, γ Testing for TAR effects and # of regimes As noted in the previous lecture, standard inference procedures regarding the intercept and slope parameters in the TAR model are asymptotically valid, so long as they are estimated using a consistent estimator of the threshold parameter vector γ. [Estimate γ as above; for that γ, estimate β by OLS; apply OLS inference methods to construct CIs for and test hypotheses concerning the components of β.] Suppose that we believe that yt follows a SETAR(p,2,d) process, where p and d can be known or unknown. Following the procedures discussed earlier, we estimate β, γ (and, if they are unknown, p and d). How do we test H0: γ = γ0? (e.g., γ0 = 0) How do we construct interval estimates for γ? How do we test the null of a one-regime TAR (i.e., a linear AR) against the alternative of a two-regime TAR? How do we test the null of a two-regime TAR against the alternative of a three-regime TAR? Testing H0: γ = γ0 Hansen (1997) showed that under the null hypothesis, the sequence of LR-like statistics converges in distribution to a r.v., ξ. The distribution of ξ can be derived by simulation methods (HOW?). Simulated percentiles of that distribution are provided in Hansen’s paper (Table 1, row 2). So, for example, consider testing H0: γ = 0 for the two-regime TAR model of real GDP growth rates. First, we estimate the model treating γ as unknown to get USSR. Second, we estimate the model treating γ as known and equal to 0 to get RSSR. Third, compute LR and compare its value to the percentiles in Hansen’s Table 1. E.g., the 95th percentile of the distribution of ξ is 7.35. So reject H0: γ=0 at the 5-percent level if LR 7.35. Constructing CIs for γ Asymptotically valid confidence intervals for γ can be constructed by “inverting the LR statistic.” That is, to construct, e.g., a 95-percent CI for γ, find the set Г0.95 = {γ: LRT(γ) ξ0.95} = {γ: LRT(