Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model

zbMATH Open0970.62533MaRDI QIDQ2720871

Cunrui Si

Publication date: 27 June 2001

Published in: Journal of Engineering Mathematics (Xi'an) (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Recommendations

• On parameter estimation of threshold autoregressive models 👍 👎
• Estimation in threshold autoregressive models with a stationary and a unit root regime 👍 👎
• On the least squares estimation of multiple-regime threshold autoregressive models 👍 👎
• Asymptotic inference in multiple-threshold double autoregressive models 👍 👎
• On maximum likelihood estimators for a threshold autoregression 👍 👎
• On a threshold autoregression with conditional heteroscedastic variances 👍 👎
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS 👍 👎
• On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters 👍 👎

This page was built for publication: Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2720871)