Li, Dong; Ling, Shiqing; Li, Wai Keung - In: Econometric Theory 29 (2013) 03, pp. 482-516
This paper studies the asymptotic theory of least squares estimation in a threshold moving average model. Under some mild conditions, it is shown that the estimator of the threshold is <italic>n</italic>-consistent and its limiting distribution is related to a two-sided compound Poisson process, whereas the...