Threshold models in time series analysis-some reflections

Abstract

In this paper, I reflect on the developments of the threshold model in time series analysis since its birth in 1978, with particular reference to econometrics. Key words and phrases: all-step-ahead prediction; asymmetry; Bayesian decision; business cycle; catastrophe; conditionally heteroscedastic autoregressive models with thresholds; jump resonance; mis-specified model; non-likelihood approach; nonlinear unit root; non-stationarity; open-loop system; panel threshold model; smooth threshold autoregressive models; splines; structural breaks; threshold autoregressive models; threshold moving average models; threshold principle; threshold unit root; volatility; wrong model.