The limiting behavior of least absolute deviation estimators for threshold autoregressive models

The asymptotic behavior of the least squares (LS) estimators of the parameters in threshold autoregressive models has been completely studied in the literature. It is well known that in some cases the least absolute deviation (LAD) estimators are superior to the LS-estimators. This paper is devoted to studying the strong consistency and the asymptotic normality of the LAD-estimators in two cases where the threshold is known and/or unknown.

MoreLess

Year of publication:	2004
Authors:	Wang, Lihong ; Wang, Jinde
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 89.2004, 2, p. 243-260
Publisher:	Elsevier
Keywords:	Asymptotic normality Least absolute deviation estimation Nonlinear time series Strong consistency Threshold autoregressive models

More details

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

Persistent link: https://www.econbiz.de/10005221664