@article{And03,
    author = {Andrews, D.W.K.},
    title = {Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum},
    journal = {Econometrica},
    fjournal = {Econometrica},
    volume = {71},
    number = {1},
    pages = {395-397},
    doi = {10.1111/1468-0262.00405},
    year = {2003}
}
@TechReport{Ang23,
      title={Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes}, 
      author={F. Angelini and M. Castellani and S. Giannerini and G. Goracci},
      year={2023},
      institution={University of Bologna and Free University of Bolzano},
      eprint={2308.00444},
      archivePrefix={arXiv},
      primaryClass={econ.EM},
      url={https://arxiv.org/abs/2308.00444}, 
}

@article{Ang25,
author = {Angelini, F. and Castellani, M. and Giannerini, S. and Goracci, G.},
title = {Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes},
journal = {Oxford Bulletin of Economics and Statistics},
volume = {87},
number = {3},
pages = {659-689},
doi = {10.1111/obes.12647},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/obes.12647},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/obes.12647},
abstract = {Abstract We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA-GARCH model versus a TARMA-GARCH model. We derive the asymptotic null distribution of the test statistic, and this requires novel results due to nuisance parameters, absent under the null hypothesis, combined with the nonlinear moving average and GARCH-type innovations. We show that tests that do not account for heteroskedasticity fail to achieve the correct size even for large sample sizes. Moreover, the TARMA specification naturally accounts for the ubiquitous presence of measurement error that affects macroeconomic data. We apply the results to analyse the time series of Italian strikes, and we show that the TARMA-GARCH specification is consistent with the relevant macroeconomic theory while capturing the main features of the Italian strikes dynamics, such as asymmetric cycles and regime-switching.},
year = {2025}
}

@article{Cha19,
    author = {Chan, K. -S. and Goracci, G.},
    title = {On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes},
    fjournal = {Journal of Time Series Analysis},
    journal = {J. Time Series Anal.},
    volume = {40},
    number = {2},
    pages = {256-264},
    year = {2019},
}
@TECHREPORT{Cha20,
    title={Unit-root test within a threshold {ARMA} framework},
    author={K.-S. Chan and S. Giannerini and G. Goracci and H. Tong},
    year={2020},
    eprint={2002.09968},
    archivePrefix={arXiv},
    primaryClass={stat.ME},
    url={https://arxiv.org/abs/2002.09968},
    institution = {University of Iowa, University of Bologna, London School of Economics},
}
@article{Cha24,
      title={Testing for threshold regulation in presence of measurement error},
      author={Chan, K.-S. and Giannerini, S. and Goracci, G. and Tong, H.},
      year={2024},
      journal = {Statistica Sinica},
      doi_ = {10.5705/ss.202022.0125},
      url = {https://doi.org/10.5705/ss.202022.0125},
      volume = {34},
      number={3},
   	pages = {1413-1434},
}
@article{Fer12,
    author = {D. Ferrari and D. {La-Vecchia}},
    title = "{On robust estimation via pseudo-additive information}",
    journal = {Biometrika},
    volume = {99},
    number = {1},
    pages = {238-244},
    year = {2011},
    month = {12},
    issn = {0006-3444},
    doi = {10.1093/biomet/asr061},
    url = {https://doi.org/10.1093/biomet/asr061},
}

@TECHREPORT{Gia21,
    title={Estimating and Forecasting with {TARMA} models},
    author={S. Giannerini and G. Goracci},
    year={2021},
    institution = {University of Bologna},
}
@misc{Gia22,
  doi = {10.48550/ARXIV.2201.00028},
  url = {https://arxiv.org/abs/2201.00028},
  author = {Giannerini, S. and Goracci, G. and Rahbek, A.},
  keywords = {Methodology (stat.ME), Statistics Theory (math.ST), FOS: Computer and information sciences, FOS: Computer and information sciences, FOS: Mathematics, FOS: Mathematics, 62M10, 91B84},
  title = {The validity of bootstrap testing in the threshold framework},
  publisher = {arXiv},
  year = {2022},
  copyright = {arXiv.org perpetual, non-exclusive license}
}
@ARTICLE{Gia23,
  author = {Giannerini, S. and Goracci, G. and Rahbek, A.},
  title = {The validity of bootstrap testing in the threshold framework},
  journal = {Journal of Econometrics},
  volume = {239},
  number = {1},
  pages = {105379},
  year = {2024},
  note = {Climate Econometrics},
  issn = {0304-4076},
  doi = {10.1016/j.jeconom.2023.01.004},
  url = {https://doi.org/10.1016/j.jeconom.2023.01.004},
  publisher = {Elsevier},
}
@TECHREPORT{Gor21,
    title={Testing for threshold effects in the TARMA framework},
    author={G. Goracci and S. Giannerini and K.-S. Chan and H. Tong},
    year={2021},
    institution = {University of Bologna, Free University of Bolzano, University of Iowa,  London School of Economics},
    archivePrefix={arXiv},
    primaryClass={stat.ME},
    url={https://arxiv.org/abs/2103.13977},
}
@TECHREPORT{Gor21b,
    title={Bootstrap testing when nuisance parameters are absent under the null hypothesis},
    author={G. Goracci and S. Giannerini and A. Rahbek},
    year={2021},
    institution = {University of Bologna, University of Copenhagen},
}
@ARTICLE{Gor23,
    title={Testing for threshold effects in the TARMA framework},
    author={G. Goracci and S. Giannerini and K.-S. Chan and H. Tong},
    year={2023},
    journal={Statistica Sinica},
    volume={33},
    number={3},
    pages = {1879-1901},
    doi = {10.5705/ss.202021.0120},
}
@TECHREPORT{Gor23b,
    title={Robust estimation for Threshold Autoregressive Moving-Average models},
    author={G. Goracci and D. Ferrari and S. Giannerini and F. Ravazzolo},
    doi = {10.48550/ARXIV.2211.08205},
    year={2023},
    archivePrefix={arXiv},
    primaryClass={stat.ME},
    institution = {Free University of Bolzano, University of Bologna},
}
@article{Gor25,
    author = {G. Goracci and D. Ferrari and S. Giannerini and F. Ravazzolo},
    title = {Robust estimation for Threshold Autoregressive Moving-Average models},
title = {Robust Estimation for Threshold Autoregressive Moving-Average Models},
journal = {Journal of Business \& Economic Statistics},
volume = {43},
number = {3},
pages = {579--591},
year = {2025},
publisher = {ASA Website},
doi = {10.1080/07350015.2024.2412011},
}
@article{Han96,
 ISSN = {00129682, 14680262},
 URL = {https://doi.org/10.2307/2171789},
 author = {B.E. Hansen},
 journal = {Econometrica},
 number = {2},
 pages = {413--430},
 publisher = {[Wiley, Econometric Society]},
 title = {Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis},
 volume = {64},
 year = {1996}
}
