On non-stationary threshold autoregressive models

被引：15
|
作者：
Liu, Weidong [1 ]
Ling, Shiqing [1 ]
Shao, Qi-Man [1 ]
机构：
[1] Hong Kong Univ Sci & Technol, Dept Math, Kowloon, Hong Kong, Peoples R China
来源：
BERNOULLI | 2011年 / 17卷 / 03期
关键词：
explosive TAR(1) model; least-squares estimator; unit root TAR(1) model; LEAST-SQUARES ESTIMATOR; AR(1) MODEL; TIME-SERIES; UNIT-ROOT; CONSISTENCY;
D O I：
10.3150/10-BEJ306
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting behaviors of the TAR(1) process are very different from those of the classical unit root model and the explosive AR(1).
引用
收藏
页码：969 / 986
页数：18
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