Jump to Main Content
- Chan, Ngai Hang, et al. Show all 2 Author
- Journal of econometrics 2018 v.207 no.2 pp. 307-324
- autocorrelation; econometric models; economic analysis; economic theory
- ... This paper proposes a new portmanteau-type statistic by combining several lags of the sample autocorrelations to test for the presence of a unit-root of an autoregressive model. The proposed method is nonparametric in nature, which is model free and easy to implement. It avoids modeling the fitted residuals and does not require estimation of nuisance parameters, as commonly done in the augmented D ...
- Chan, Ngai Hang, et al. Show all 3 Authors
- Journal of econometrics 2015 v.189 no.2 pp. 285-296
- econometric models; economic analysis; economic theory; gross national product; United States
- ... This paper develops a novel approach for estimating a threshold autoregressive (TAR) model with multiple-regimes and establishes its large sample properties. By reframing the problem in a regression variable selection context, a least absolute shrinkage and selection operator (LASSO) procedure is proposed to estimate a TAR model with an unknown number of thresholds, where the computation can be pe ...