ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
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Publication:3736760
DOI10.1111/j.1467-9892.1986.tb00494.xzbMath0601.62110MaRDI QIDQ3736760
Publication date: 1986
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00494.x
consistency; ergodicity; nonlinear time series; SETAR; Ordinary least squares estimators; self exciting threshold autoregressive models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
On maximum likelihood estimators for a threshold autoregression, Strong convergence of estimators in nonlinear autoregressive models, The limiting behavior of least absolute deviation estimators for threshold autoregressive models, Unnamed Item, ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Cites Work