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Strong convergence of estimators in nonlinear autoregressive models

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Author Info
Liebscher, Eckhard
Abstract

In the paper we prove rates of strong convergence of M-estimators for the parameters in a general nonlinear autoregressive model. In the proofs we utilize a variational principle from stochastic optimization theory which was proved by Shapiro (Ann. Oper. Res. 30 (1991) 169). The application of the general theory is illustrated in the case of continuous threshold models.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 84 (2003)
Issue (Month): 2 (February)
Pages: 247-261
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Handle: RePEc:eee:jmvana:v:84:y:2003:i:2:p:247-261

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Keywords: Nonlinear autoregressive model M-estimators Strong convergence Threshold models;

Cited by:
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  1. Jonathan Hill, 2006. "Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form," Working Papers 0608, Florida International University, Department of Economics. [Downloadable!]
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