On the least squares estimation of multiple-regime threshold autoregressive models

DOI10.1016/j.jeconom.2011.11.006zbMath1441.62795OpenAlexW2131699250MaRDI QIDQ738149

Shiqing Ling, Dong Li

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.11.006

zbMATH Keywords

asymptotic distributioncompound Poisson processleast squares estimationmultiple-regime TAR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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