Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

DOI10.1111/j.1467-9892.2011.00753.xzbMath1300.62064OpenAlexW2135452489MaRDI QIDQ2930881

Shiqing Ling, Ke Zhu

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00753.x

zbMATH Keywords

likelihood ratio testAR(\(p\))structure changethreshold AR(\(p\))two-parameter Gaussian process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Threshold models in non-linear time series analysis
• The maximum likelihood method for testing changes in the parameters of normal observations
• Testing for a linear MA model against threshold MA models
• Testing for threshold autoregression
• Time series: theory and methods.
• Likelihood ratio tests for multiple structural changes
• Testing for a change in the parameter values and order of an autoregressive model
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Testing for change points in time series models and limiting theorems for NED sequences
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Testing for threshold autoregression with conditional heteroscedasticity
• Estimating and Testing Linear Models with Multiple Structural Changes
• Sample Splitting and Threshold Estimation
• Testing and Modeling Threshold Autoregressive Processes
• Detecting Changes in Linear Regressions
• Convergence of stochastic processes