Asymptotic inference in multiple-threshold double autoregressive models
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DOI: 10.1016/j.jeconom.2015.03.033
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Cited by:
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Zhu Huafeng & Zhang Xingfa & Liang Xin & Li Yuan, 2018. "Moving Average Model with an Alternative GARCH-Type Error," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 165-177, April.
- Zhu, Huafeng & Zhang, Xingfa & Liang, Xin & Li, Yuan, 2017. "On a vector double autoregressive model," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 86-95.
- Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
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More about this item
Keywords
Compound Poisson process; Ergodicity; Quasi-maximum likelihood estimation; Strict stationarity; MTDAR model; Score test;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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