Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

DOI10.1016/J.JECONOM.2016.11.009zbMATH Open1422.62292OpenAlexW2576240329MaRDI QIDQ515145FDOQ515145

Shiqing Ling, Yaxing Yang

Publication date: 10 March 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.11.009

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zbMATH Keywords

heavy-tailed time seriesself-weighted LADETAR modelsWald test and sign-based portmanteau test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (10)

• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
• Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
• Title not available (Why is that?)
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models

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