Testing a linear time series model against its threshold extension

DOI10.1093/biomet/asq074zbMath1210.62123OpenAlexW2023348700MaRDI QIDQ3168782

Guodong Li, Wai Keung Li

Publication date: 19 April 2011

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asq074

zbMATH Keywords

bootstrap methodthreshold modelautoregressive moving average modelquasilikelihood ratio test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (14)

Threshold Structures in Economic and Financial Time Series ⋮ A new nonlinearity test to circumvent the limitation of Volterra expansion with application ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ A smoothed \(p\)-value test when there is a nuisance parameter under the alternative ⋮ Testing for Threshold Effects in the TARMA Framework ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ The Marginal Density of a TMA(1) Process ⋮ The validity of bootstrap testing for threshold autoregression ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ A note on moving‐average models with feedback ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Generalized threshold latent variable model ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Identification of Threshold Autoregressive Moving Average Models

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