Testing for threshold autoregression with conditional heteroscedasticity

DOI10.1093/BIOMET/84.2.407MaRDI QIDQ4364907zbMATH OpenOpenAlexFDO

Authors

Publication date 1997

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/84.2.407

zbMATH Keywords

Conditional heteroscedasticityGaussian processLagrange-multiplier testthreshold time series model.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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(31)

• On geometric ergodicity of the MTAR process
• Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
• Generalized threshold latent variable model
• The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
• Nonparametric simultaneous testing for structural breaks
• Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
• Testing a linear time series model against its threshold extension
• Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series
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• Testing for threshold moving average with conditional heteroscedasticity
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• Identification of threshold autoregressive moving average models
• Nonlinearity testing and modeling for threshold moving average models
• Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach
• Testing for structural change of AR model to threshold AR model
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• Testing for Threshold Effects in the TARMA Framework
• The validity of bootstrap testing for threshold autoregression
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• Testing for Threshold Diffusion
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
• Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
• Testing for a linear MA model against threshold MA models
• Asymptotic inference in multiple-threshold double autoregressive models
• Testing for threshold autoregression
• Testing for sign and amplitude asymmetries using threshold autoregressions
• Testing for nonlinearity in mean and volatility for heteroskedastic models

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