Journal article
On likelihood ratio tests for threshold autoregression
Journal of the Royal Statistical Society, Vol.52(3), pp.469-476
1990
DOI: 10.1111/j.2517-6161.1990.tb01800.x
Abstract
This paper addresses the null distribution of the likelihood ratio statistic for threshold autoregression with normally distributed noise. The problem is non-standard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We reduce the problem to the first-passage probability associated with a Gaussian process which, in some special cases, turns out to be a Brownian bridge. It is also shown that, in some specific cases, the asymptotic null distribution of the test statistic depends only on the `degrees of freedom' and not on the exact null joint distribution of the time series.
Details
- Title: Subtitle
- On likelihood ratio tests for threshold autoregression
- Creators
- K. S Chan
- Resource Type
- Journal article
- Publication Details
- Journal of the Royal Statistical Society, Vol.52(3), pp.469-476
- Publisher
- Royal Statistical Society
- DOI
- 10.1111/j.2517-6161.1990.tb01800.x
- ISSN
- 0035-9246
- Language
- English
- Date published
- 1990
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257634402771
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