On Parameter Estimation of Threshold Autoregressive Models

2010/03/18 by Ngai Hang Chan, Chan, Ngai Hang, Yury A. Kutoyants +1 · 1 citation
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1003.3800

Abstract

This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and its limit distribution is expressed in terms of a limit likelihood ratio. Furthermore, convergence of moments of the estimators is also established. The limit distribution can be computed via explicit simulations from which testing and inference for the threshold parameter can be conducted. The obtained results are illustrated with numerical simulations.

Cited by

• On Identification of the Threshold Diffusion Processes
• Estimating discontinuous periodic signals in a non-time homogeneous\n diffusion process

Related

• A threshold AR(1) model
• Bayesian estimation of a multivariate TAR model when the noise process distribution belongs to the class of Gaussian variance mixtures
• On Identification of the Threshold Diffusion Processes
• The validity of bootstrap testing in the threshold framework
• Confidence Distributions for the Autoregressive Parameter