Zhang, Li-Xin; Chan, Wai-Sum; Cheung, Siu-Hung; Hung, … - In: Statistics & Probability Letters 79 (2009) 6, pp. 807-813
The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics...