13 citations · 17 across the 8 of their papers we have counts for
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stat.ME2021★ 1 cited
The validity of bootstrap testing in the threshold framework
Simone Giannerini, Greta Goracci, Anders Rahbek
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend t…
stat.ME2021★ 13 cited
Testing for threshold effects in the TARMA framework
Greta Goracci, Simone Giannerini, Kung-Sik Chan +1
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statist…