Estimation in threshold autoregressive models with correlated innovations

Large sample statistical analysis of threshold autoregressive models is usually based on the assumption that the underlying driving noise is uncorrelated. In this paper, we consider a model, driven by Gaussian noise with geometric correlation tail and derive a complete characterization of the asymptotic distribution for the Bayes estimator of the threshold parameter. Copyright The Institute of Statistical Mathematics, Tokyo 2013

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Year of publication:	2013
Authors:	Chigansky, P. ; Kutoyants, Yu.
Published in:	Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 65.2013, 5, p. 959-992
Publisher:	Springer
Subject:	Asymptotic statistics \| Bayes estimator \| Threshold autoregression \| Hidden Markov models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010698324