Since their introduction at the end of the ’70’s, threshold models have been widely applied to study economic and financial time series. The interest arisen from this class of models is even testified by the relevant number of variants proposed in literature with respect to the original one introduced in [Ton78]. Among them, in the present paper we give attention to the so-called Self Exciting Threshold Autoregressive Moving Average (SETARMA) models proposed in [Ton83], and recently revised in [ANVss], that are a direct generalization of the linear ARMA structure ([BJ76]). The original form, with k-regimes, of the SETARMA model of order (k; p1, . . . , pk; q1, . . . , qk ) takes form……: [download]
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