On non-stationary threshold autoregressive models
Statistics Theory
2011-07-15 v1 Statistics Theory
Abstract
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting behaviors of the TAR(1) process are very different from those of the classical unit root model and the explosive AR(1).
Cite
@article{arxiv.1107.2802,
title = {On non-stationary threshold autoregressive models},
author = {Weidong Liu and Shiqing Ling and Qi-Man Shao},
journal= {arXiv preprint arXiv:1107.2802},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ306 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)