Abstract
This article contains a short account of threshold, smooth transition and Markov switching autoregressive models. Neural network models are highlighted as well. Linearity testing, parameter estimation and, more generally, modelling are considered. Forecasting with threshold models receives attention. Suggestions for further reading are supplied.
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Teräsvirta, T. (2018). Threshold Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2704
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2704
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