If we extend the forecast window, however, it is clear that the SETAR model is the only one that even begins to fit the shape of the data, because the data is cyclic. The procedure of Li and Tong is used to search for the threshold. In addition to the large number of parameters to estimate, the estimation procedure can struggle to distinguish the mix of self-exciting, AR, and exogenous dynamics. Read Edit View history. You switched accounts on another tab or window.
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