Journal article
Testing for Threshold Effects in the TARMA Framework
Statistica Sinica, Vol.33(3), pp.1879-1901
07/01/2023
DOI: 10.5705/ss.202021.0120
Abstract
We present supremum Lagrange multiplier tests for comparing a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statistics under both the null hypothesis and contiguous local alternatives, and prove the consistency of the tests. A Monte Carlo study shows that the tests enjoy good finite-sample properties and are robust against various forms of model mis-specification. Furthermore, the performance of the tests is not affected by the unknown order of the model. The tests have a low computational burden and do not suffer from some of the drawbacks that affect the quasi-likelihood ratio setting. Lastly, we present an application to a time series of standardized tree-ring growth indices. Our results can lead to new research in climate studies.
Details
- Title: Subtitle
- Testing for Threshold Effects in the TARMA Framework
- Creators
- Greta Goracci - University of BolognaSimone GianneriniKung-Sik Chan - University of Iowa, Statistics and Actuarial ScienceHowell Tong - London School of Economics and Political Science
- Resource Type
- Journal article
- Publication Details
- Statistica Sinica, Vol.33(3), pp.1879-1901
- DOI
- 10.5705/ss.202021.0120
- ISSN
- 1017-0405
- Language
- English
- Date published
- 07/01/2023
- Academic Unit
- Radiology; Statistics and Actuarial Science
- Record Identifier
- 9984540460102771
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