Bernoulli

  • Bernoulli
  • Volume 17, Number 3 (2011), 969-986.

On non-stationary threshold autoregressive models

Weidong Liu, Shiqing Ling, and Qi-Man Shao

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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).

Article information

Source
Bernoulli, Volume 17, Number 3 (2011), 969-986.

Dates
First available in Project Euclid: 7 July 2011

Permanent link to this document
https://projecteuclid.org/euclid.bj/1310042852

Digital Object Identifier
doi:10.3150/10-BEJ306

Mathematical Reviews number (MathSciNet)
MR2817613

Zentralblatt MATH identifier
1221.62127

Keywords
explosive TAR(1) model least-squares estimator unit root TAR(1) model

Citation

Liu, Weidong; Ling, Shiqing; Shao, Qi-Man. On non-stationary threshold autoregressive models. Bernoulli 17 (2011), no. 3, 969--986. doi:10.3150/10-BEJ306. https://projecteuclid.org/euclid.bj/1310042852


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