Asymptotic inference in multiple-threshold double autoregressive models
From MaRDI portal
Publication:888334
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
ergodicity; score test; compound Poisson process; strict stationarity; quasi-maximum likelihood estimation; MTDAR model
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Subsampling inference in threshold autoregressive models
- A class of threshold autoregressive conditional heteroscedastic models
- Markov chains and stochastic stability
- On the least squares estimation of multiple-regime threshold autoregressive models
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Testing for threshold autoregression
- Qualitative threshold ARCH models
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
- Score based goodness-of-fit tests for time series
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- ARMA MODELS WITH ARCH ERRORS
- Asymptotic inference for a nonstationary double AR(1) model
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- A multiple-threshold AR(1) model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Testing for threshold autoregression with conditional heteroscedasticity
- Sample Splitting and Threshold Estimation
- Estimation and Testing Stationarity for Double-Autoregressive Models
- On conditionally heteroscedastic AR models with thresholds
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Threshold heteroskedastic models