This paper proposes an automatic procedure to identify threshold autoregressive models and specify the values of thresholds. The proposed procedure is based on the time-varying estimation of the parameters using an arranged autoregression. The proposed method not only allows for the automatic identification of the thresholds, but also has a superior identification performance than the competitors. The performance of the proposed procedure is illustrated using Monte Carlo experiments and real data. Copyright © 2010 John Wiley & Sons, Ltd.