ESTIMATING SETARs WITH MULTIVARIATE THRESHOLDS
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چکیده
GRASP is a Greedy Randomised Adaptive Sampling Procedure that has been proposed to estimate parameters of self-exciting autoregressive threshold models (SETARs) with multivariate thresholds. We show that the GRASP procedure can often lead to an incorrect number of thresholds when estimating SETARs. Two simple modifications of the original GRASP procedure are suggested to overcome this problem. Some key words: Combinatorial optimization; GRASP; Threshold time series models.
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تاریخ انتشار 2003