Asymptotic inference in multiple-threshold double autoregressive models

DOI10.1016/j.jeconom.2015.03.033zbMath1337.62272OpenAlexW2157921929MaRDI QIDQ888334

Dong Li, Shiqing Ling, Jean-Michel Zakoian

Publication date: 30 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.033

zbMATH Keywords

ergodicityscore testcompound Poisson processstrict stationarityquasi-maximum likelihood estimationMTDAR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Frontiers in time series and financial econometrics: an overview ⋮ On a vector double autoregressive model ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ The Marginal Density of a TMA(1) Process ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models ⋮ Generalized threshold latent variable model ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models ⋮ Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity ⋮ Sample path properties of an explosive double autoregressive model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Subsampling inference in threshold autoregressive models
• A class of threshold autoregressive conditional heteroscedastic models
• Markov chains and stochastic stability
• On the least squares estimation of multiple-regime threshold autoregressive models
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Testing for threshold autoregression
• Qualitative threshold ARCH models
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
• Score based goodness-of-fit tests for time series
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• ARMA MODELS WITH ARCH ERRORS
• Asymptotic inference for a nonstationary double AR(1) model
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A multiple-threshold AR(1) model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing for threshold autoregression with conditional heteroscedasticity
• Sample Splitting and Threshold Estimation
• Estimation and Testing Stationarity for Double-Autoregressive Models
• On conditionally heteroscedastic AR models with thresholds
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Threshold heteroskedastic models

This page was built for publication: Asymptotic inference in multiple-threshold double autoregressive models