It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson Process.
Publié le : 1993-03-14
Classification:
Compound Poisson process,
consistency,
ergodicity,
least squares estimation,
limiting distribution,
threshold autoregressive models,
62M10,
62J05
@article{1176349040,
author = {Chan, K. S.},
title = {Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model},
journal = {Ann. Statist.},
volume = {21},
number = {1},
year = {1993},
pages = { 520-533},
language = {en},
url = {http://dml.mathdoc.fr/item/1176349040}
}
Chan, K. S. Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. Ann. Statist., Tome 21 (1993) no. 1, pp. 520-533. http://gdmltest.u-ga.fr/item/1176349040/