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International Conference on Numerical Analysis and Its Applications

NAA 2000: Numerical Analysis and Its Applications pp 198–206Cite as

A Rational Interpolation Approach to Least Squares Estimation for Band-TARs

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Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1988))

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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References

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Author information

Authors and Affiliations

  1. Dept. of Economics, Birkbeck College, 7-5 Gresse Street, W1P 2LL, London, UK

    Jerry Coakley

  2. Dept. of Economics, London Guildhall University, 84 Moorgate, EC2M 6SQ, London, UK

    Fuertes Ana-María

  3. Dept. de Matemática Aplicada a la Ingeniería, Universidad de Valladolid, Paseo del Cauce s/n, 47011, Valladolid, Spain

    Pérez María-Teresa

Authors
  1. Jerry Coakley
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  2. Fuertes Ana-María
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  3. Pérez María-Teresa
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Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Rousse, 7000, Rousse, Bulgaria

    Lubin Vulkov  & Plamen Yalamov  & 

  2. UNI-C,Danish Computing Center for Research and Education, DTU,Building 304, 2800, Lyngby, Denmark

    Jerzy Waśniewski

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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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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-41814-6

  • Online ISBN: 978-3-540-45262-1

  • eBook Packages: Springer Book Archive

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