Limiting properties of the least squares estimator of a continuous threshold autoregressive model

被引:124
作者
Chan, KS [1 ]
Tsay, RS
机构
[1] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA
[2] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA
基金
美国国家科学基金会;
关键词
asymptotic normality; empirical process; ergodicity; non-differentiability;
D O I
10.1093/biomet/85.2.413
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
The continuous threshold autoregressive model is a sub-class of the threshold autoregressive model subject to the requirement that the piece-wise linear autoregressive function be continuous everywhere. In contrast with the discontinuous case, it is shown that, under suitable regularity conditions, the conditional least squares estimator of the parameters including the threshold parameter is root-n consistent and asymptotically normally distributed. The theory is illustrated by a simulation study and is applied to the quarterly U.S. unemployment rates.
引用
收藏
页码:413 / 426
页数:14
相关论文
共 24 条
  • [1] 8Doukhan P., 2012, Mixing: Properties and Examples, V85
  • [2] [Anonymous], 1992, Stochastic Stability of Markov chains
  • [3] Arcones M. A., 1994, J. Theor. Probab., V7, P47, DOI [10.1007/BF02213360, DOI 10.1007/BF02213360]
  • [4] Billingsley P, 1968, CONVERGE PROBAB MEAS
  • [6] A MULTIPLE-THRESHOLD AR(1) MODEL
    CHAN, KS
    PETRUCCELLI, JD
    TONG, H
    WOOLFORD, SW
    [J]. JOURNAL OF APPLIED PROBABILITY, 1985, 22 (02) : 267 - 279
  • [7] CHAN KS, 1985, ADV APPL PROBAB, V17, P667
  • [8] CHAN KS, 1993, DIMENSIONS ESTIMATIO, P108
  • [9] Chan KS., 1986, J Time Ser Anal, V7, P179, DOI [DOI 10.1111/J.1467-9892.1986.TB00501.X, 10.1111/j.1467-9892.1986.tb00501.x]
  • [10] NONLINEAR ADDITIVE ARX MODELS
    CHEN, R
    TSAY, RS
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (423) : 955 - 967