Quasi-likelihood estimation of structure-changed threshold double autoregressive models

DOI10.1016/J.JSPI.2019.06.008MaRDI QIDQ2301052zbMATH OpenOpenAlexFDO

Authors Feifei Guo, Shiqing Ling

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2019.06.008

zbMATH Keywords

change-pointcompound Poisson processquasi-maximum likelihood estimator (QMLE)TAR

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Asymptotic inference in multiple-threshold double autoregressive models
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• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model

Cites work

• A smoothed least squares estimator for threshold regression models
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• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation in threshold autoregressive models with a stationary and a unit root regime
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• Group Lasso for structural break time series
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• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
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• Structural change in AR(1) models
• Testing and estimating change-points in time series
• Testing For and Dating Common Breaks in Multivariate Time Series
• Testing for structural change of AR model to threshold AR model
• The asymptotic behavior of some nonparametric change-point estimators
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes
• Threshold models in time series analysis -- 30 years on

Cited in

(6)

• Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
• Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
• On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
• Bayesian analysis for a threshold double autoregressive model with explanatory variables
• When structural break meets threshold effect: factor analysis under structural instabilities
• Asymptotic inference in multiple-threshold double autoregressive models

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