Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold

DOI10.1080/03610926.2013.853788zbMath1337.62038OpenAlexW2032356586MaRDI QIDQ2807735

M. Merzougui

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.853788

zbMATH Keywords

local asymptotic normalitylocal asymptotic ``most stringent testperiodic autoregressiveperiodic self-exciting threshold autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Local asymptotic normality for a periodically time varying long memory parameter

Cites Work

• Unnamed Item
• Unnamed Item
• Testing for threshold autoregression
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Aligned rank tests for linear models with autocorrelated error terms
• Efficient estimation in nonlinear autoregressive time-series models
• On adaptive estimation in stationary ARMA processes
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Nonlinear modelling of periodic threshold autoregressions using Tsmars

This page was built for publication: Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold