On non-stationary threshold autoregressive models

DOI10.3150/10-BEJ306zbMath1221.62127arXiv1107.2802OpenAlexW2055101690MaRDI QIDQ638764

Shiqing Ling, Wei-Dong Liu, Qui-Man Shao

Publication date: 14 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.2802

zbMATH Keywords

least-squares estimatorunit rootsexplosive \(TAR(1)\) modelTAR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (9)

Optimal Gamma Approximation on Wiener Space ⋮ Unit root testing in presence of a double threshold process ⋮ Estimation in threshold autoregressive models with correlated innovations ⋮ Unnamed Item ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Estimation in threshold autoregressive models with a stationary and a unit root regime ⋮ On the least squares estimation of multiple-regime threshold autoregressive models ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models

Cites Work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Non-linear time series and Markov chains
• A threshold AR(1) model
• A multiple-threshold AR(1) model
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Threshold Autoregression with a Unit Root
• Martingale Central Limit Theorems

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