Testing for common structures in a panel of threshold models

K S Chan; H Tong; N Chr Stenseth

doi:10.1111/j.0006-341X.2004.00151.x

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Testing for common structures in a panel of threshold models

Journal article

Peer reviewed

Testing for common structures in a panel of threshold models

K S Chan, H Tong and N Chr Stenseth

Biometrics, Vol.60(1), pp.225-232

03/2004

DOI: 10.1111/j.0006-341X.2004.00151.x

PMID: 15032793

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Abstract

We consider the problem of examining the extent of (partial) similarity in the dynamics of a panel of independent threshold autoregressive processes. We develop some tests for common structure via Wald's approach and by checking whether the parameter estimates of the unconstrained threshold models satisfy the constraints defining the common structure. One test concerns the equality of independent ratios of normal means, which is shown to have nonstandard asymptotic null distribution. These tests are illustrated with a modern panel of Canadian lynx data; our analysis suggests that the lynx data over Canada share similar dynamics in the decrease phase, but they appear to be different in the increase phase.

Animals

Biometry

Canada

Data Interpretation, Statistical

Ecosystem

Lynx

Models, Statistical

Nonlinear Dynamics

Population Dynamics

Regression Analysis

Details

Title: Subtitle: Testing for common structures in a panel of threshold models
Creators: K S Chan - University of Iowa
H Tong - London School of Economics and Political Science
N Chr Stenseth - University of Oslo
Resource Type: Journal article
Publication Details: Biometrics, Vol.60(1), pp.225-232
DOI: 10.1111/j.0006-341X.2004.00151.x
PMID: 15032793
ISSN: 0006-341X
eISSN: 1541-0420
Language: English
Date published: 03/2004
Academic Unit: Statistics and Actuarial Science; Radiology
Record Identifier: 9984257614002771

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