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## An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression

#### Barış ASIKGIL [1]

##### 34 169

Ordinary least squares method is usually used for parameter estimation in multiple linear regression models when all regression assumptions are satisfied. One of the problems in multiple linear regression analysis is the presence of serially correlated disturbances. Serial correlation can be formed by autoregressive or moving average models. There are many studies in the literature including parameter estimation in regression models especially with autoregressive disturbances. The motivation of this study is that whether serially correlated disturbances are defined by a different type of nonlinear process and how this process is analyzed in multiple linear regression. For this purpose, a nonlinear time series process known as self-exciting threshold autoregressive model is used to generate disturbances in multiple linear regression models. Two-stage least squares method used in the presence of autoregressive disturbances is adapted for dealing with this new situation and comprehensive experiments are performed in order to compare efficiencies of the proposed method with the others. According to numerical results, the proposed method can outperform under the type of self-exciting threshold autoregressive autocorrelation problem when compared to ordinary least squares and two-stage least squares.

Autocorrelation, Nonlinear time series, Self-exciting threshold autoregressive disturbances, Linear regression, Adapted two-stage least squares
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Primary Language en Engineering Statistics Author: Barış ASIKGIL (Primary Author)Institution: MIMAR SINAN FINE ARTS UNIVERSITYCountry: Turkey Publication Date: December 1, 2018
 Bibtex @research article { gujs384130, journal = {GAZI UNIVERSITY JOURNAL OF SCIENCE}, issn = {}, eissn = {2147-1762}, address = {Gazi University}, year = {2018}, volume = {31}, pages = {1268 - 1282}, doi = {}, title = {An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression}, key = {cite}, author = {ASIKGIL, Barış} } APA ASIKGIL, B . (2018). An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression. GAZI UNIVERSITY JOURNAL OF SCIENCE, 31 (4), 1268-1282. Retrieved from http://dergipark.org.tr/gujs/issue/40684/384130 MLA ASIKGIL, B . "An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression". GAZI UNIVERSITY JOURNAL OF SCIENCE 31 (2018): 1268-1282 Chicago ASIKGIL, B . "An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression". GAZI UNIVERSITY JOURNAL OF SCIENCE 31 (2018): 1268-1282 RIS TY - JOUR T1 - An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression AU - Barış ASIKGIL Y1 - 2018 PY - 2018 N1 - DO - T2 - GAZI UNIVERSITY JOURNAL OF SCIENCE JF - Journal JO - JOR SP - 1268 EP - 1282 VL - 31 IS - 4 SN - -2147-1762 M3 - UR - Y2 - 2018 ER - EndNote %0 GAZI UNIVERSITY JOURNAL OF SCIENCE An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression %A Barış ASIKGIL %T An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression %D 2018 %J GAZI UNIVERSITY JOURNAL OF SCIENCE %P -2147-1762 %V 31 %N 4 %R %U ISNAD ASIKGIL, Barış . "An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression". GAZI UNIVERSITY JOURNAL OF SCIENCE 31 / 4 (December 2018): 1268-1282. AMA ASIKGIL B . An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression. GAZI UNIVERSITY JOURNAL OF SCIENCE. 2018; 31(4): 1268-1282. Vancouver ASIKGIL B . An Adapted Approach for Self-Exciting Threshold Autoregressive Disturbances in Multiple Linear Regression. GAZI UNIVERSITY JOURNAL OF SCIENCE. 2018; 31(4): 1282-1268.