Abstract
This article considers subsampling inference for threshold ARMA (TARMA) models. Of main interest is inference for the threshold parameter, for which it is known that the limiting distribution of the corresponding estimator is non-normal and very complicated. A simple approach based on a subsampling method is proposed to construct asymptotically valid confidence intervals for the threshold parameter. It is demonstrated that our method furnishes a valid inference for the threshold parameter. The performance of this method in finite samples is evaluated through simulation studies.