Asymptotic inference in multiple-threshold double autoregressive models

DOI10.1016/j.jeconom.2015.03.033zbMath1337.62272MaRDI QIDQ888334

Dong Li, Shiqing Ling, Jean-Michel Zakoian

Publication date: 30 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.033

zbMATH Keywords

ergodicity; score test; compound Poisson process; strict stationarity; quasi-maximum likelihood estimation; MTDAR model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models, The Marginal Density of a TMA(1) Process, On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models, Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity, Sample path properties of an explosive double autoregressive model, Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models, Frontiers in time series and financial econometrics: an overview, On a vector double autoregressive model, Strict stationarity testing and GLAD estimation of double autoregressive models, Generalized threshold latent variable model, Quasi-likelihood estimation of structure-changed threshold double autoregressive models

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