Smooth buffered autoregressive time series models

DOI10.1016/J.JSPI.2019.09.012MaRDI QIDQ2301087zbMATH OpenOpenAlexWikidataFDO

Authors Renjie Lu, Philip L. H. Yu

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.2019.09.012

zbMATH Keywords

conditional least squaresgeometric ergodicitythreshold model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A review of threshold time series models in finance
• Forecasting the U.S. Unemployment Rate
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3789620 (Why is no real title available?)
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• Hysteretic autoregressive time series models
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• On conditional least squares estimation for stochastic processes
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Testing for the buffered autoregressive processes
• Testing linearity against smooth transition autoregressive models
• Thresholds and smooth transitions in vector autoregressive models

Cited in

(2)

• Empirical likelihood inference for a class of hysteretic autoregressive models
• Self-excited hysteretic integer-valued autoregressive processes

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