Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

DOI10.1016/j.jeconom.2016.11.009zbMath1422.62292OpenAlexW2576240329MaRDI QIDQ515145

Shiqing Ling, Yaxing Yang

Publication date: 10 March 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.11.009

zbMATH Keywords

TAR modelsheavy-tailed time seriesself-weighted LADEWald test and sign-based portmanteau test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (6)

Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

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