Bruce E. Hansen
Threshold Autoregression in Economics"
Statistics and Its Interface, (2011).
Abstract:
The impact of Howell Tong's threshold autoregressive (TAR) model in the fields of econometrics and statistics is documented by a review of the enormous literature.
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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.