Testing for a linear MA model against threshold MA models
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Abstract: This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process. Under local alternatives, it is shown that this test has nontrivial asymptotic power. The results are based on a new weak convergence of a linear marked empirical process, which is independently of interest. This paper also gives an invertible expansion of the threshold MA models.
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Cited in
(31)- On buffered moving average models
- Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model
- Testing for structural change of AR model to threshold AR model
- The stationarity and invertibility of a class of nonlinear ARMA models
- A general asymptotic theory for time-series models
- Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
- A likelihood ratio type test for invertibility in moving average processes
- A note on the invertibility of nonlinear ARMA models
- A note on moving-average models with feedback
- Testing a linear time series model against its threshold extension
- Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Nonlinearity testing and modeling for threshold moving average models
- Testing for Threshold Effects in the TARMA Framework
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Testing for threshold moving average with conditional heteroscedasticity
- The validity of bootstrap testing for threshold autoregression
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- Stability in threshold VAR models
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- A score-based threshold effect test in time series models
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- Estimation in threshold autoregressive models with correlated innovations
- A Bayesian nonlinearity test for threshold moving average models
- Statistical Properties of Threshold Models
- Robust Estimation for Threshold Autoregressive Moving-Average Models
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