We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...

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...

This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(<italic>p</italic>, <italic>q</italic>) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of...

This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, <italic>Journal of the American Statistical Association</italic> 82, 590–604)...