Articles with "structure changed" as a keyword



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Quasi-likelihood estimation of structure-changed threshold double autoregressive models

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Published in 2020 at "Journal of Statistical Planning and Inference"

DOI: 10.1016/j.jspi.2019.06.008

Abstract: Abstract This paper investigates the quasi-maximum likelihood estimator (QMLE) of the structure-changed and two-regime threshold double autoregressive model. It is shown that both the estimated threshold and change-point are n -consistent, and they converge weakly… read more here.

Keywords: threshold double; double autoregressive; structure changed; likelihood estimation ... See more keywords