Abstract
This paper shows that the residual sum of squares of Band- TAR models is a rational function of degree (4,2) of the threshold parameter. Building on this result a novel fitting approach is proposed which permits a continuous threshold space and employs QR factorizations and Givens updating. Its efficiency gains over a standard grid search are illustrated by Monte Carlo analysis.
We are grateful to Erricos Kontoghiorghes and an anonymous referee for helpful comments.
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© 2001 Springer-Verlag Berlin Heidelberg
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Coakley, J., Ana-María, F., María-Teresa, P. (2001). A Rational Interpolation Approach to Least Squares Estimation for Band-TARs. In: Vulkov, L., Yalamov, P., Waśniewski, J. (eds) Numerical Analysis and Its Applications. NAA 2000. Lecture Notes in Computer Science, vol 1988. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45262-1_24
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DOI: https://doi.org/10.1007/3-540-45262-1_24
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