ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

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 n-consistent and its limiting distribution is related to a two-sided compound Poisson process, whereas the estimato...

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Bibliographic Details
Published in:	Econometric theory Vol. 29; no. 3; pp. 482 - 516
Main Authors:	Li, Dong, Ling, Shiqing, Li, Wai Keung
Format:	Journal Article
Language:	English
Published:	New York, USA Cambridge University Press 01.06.2013 Cambridge Univ. Press
Subjects:	Asymptotic theory Average Coefficients Consistent estimators Distribution Econometrics Economic growth models Economic models Economic statistics Economic theory Ergodic theory Estimating techniques Estimation Estimators Euclidean space GNP Gross National Product Least squares Random variables Simulation Simulations Statistical models Studies Thresholds Time series Tongs
ISSN:	0266-4666, 1469-4360
Online Access:	Get full text
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