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- Publisher Website: 10.1093/biomet/asq074
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Article: Testing a linear time series model against its threshold extension
Title | Testing a linear time series model against its threshold extension | ||||
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Authors | |||||
Keywords | Autoregressive moving average model Bootstrap method Quasilikelihood ratio test Threshold model | ||||
Issue Date | 2011 | ||||
Publisher | Oxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/ | ||||
Citation | Biometrika, 2011, v. 98 n. 1, p. 243-250 How to Cite? | ||||
Abstract | This paper derives the asymptotic null distribution of a quasilikelihood ratio test statistic for an autoregressive moving average model against its threshold extension. The null hypothesis is that of no threshold, and the error term could be dependent. The asymptotic distribution is rather complicated, and all existing methods for approximating a distribution in the related literature fail to work. Hence, a novel bootstrap approximation based on stochastic permutation is proposed in this paper. Besides being robust to the assumptions on the error term, our method enjoys more flexibility and needs less computation when compared with methods currently used in the literature. Monte Carlo experiments give further support to the new approach, and an illustration is reported. © 2011 Biometrika Trust. | ||||
Persistent Identifier | http://hdl.handle.net/10722/133263 | ||||
ISSN | 2023 Impact Factor: 2.4 2023 SCImago Journal Rankings: 3.358 | ||||
ISI Accession Number ID |
Funding Information: The authors thank the editor and two referees for comments that led to the substantial improvement of this paper, and the Hong Kong Research Grant Council for partial support. | ||||
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, G | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2011-05-06T06:05:37Z | - |
dc.date.available | 2011-05-06T06:05:37Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Biometrika, 2011, v. 98 n. 1, p. 243-250 | en_HK |
dc.identifier.issn | 0006-3444 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/133263 | - |
dc.description.abstract | This paper derives the asymptotic null distribution of a quasilikelihood ratio test statistic for an autoregressive moving average model against its threshold extension. The null hypothesis is that of no threshold, and the error term could be dependent. The asymptotic distribution is rather complicated, and all existing methods for approximating a distribution in the related literature fail to work. Hence, a novel bootstrap approximation based on stochastic permutation is proposed in this paper. Besides being robust to the assumptions on the error term, our method enjoys more flexibility and needs less computation when compared with methods currently used in the literature. Monte Carlo experiments give further support to the new approach, and an illustration is reported. © 2011 Biometrika Trust. | en_HK |
dc.language | eng | - |
dc.publisher | Oxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/ | en_HK |
dc.relation.ispartof | Biometrika | en_HK |
dc.subject | Autoregressive moving average model | en_HK |
dc.subject | Bootstrap method | en_HK |
dc.subject | Quasilikelihood ratio test | en_HK |
dc.subject | Threshold model | en_HK |
dc.title | Testing a linear time series model against its threshold extension | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=98&issue=1&spage=243&epage=250&date=2011&atitle=Testing+a+linear+time+series+models+against+its+threshold+extension | - |
dc.identifier.email | Li, G: gdli@hku.hk | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, G=rp00738 | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/biomet/asq074 | en_HK |
dc.identifier.scopus | eid_2-s2.0-79952178737 | en_HK |
dc.identifier.hkuros | 184614 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-79952178737&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 98 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 243 | en_HK |
dc.identifier.epage | 250 | en_HK |
dc.identifier.eissn | 1464-3510 | - |
dc.identifier.isi | WOS:000287759000020 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Li, G=52563850500 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.citeulike | 8947560 | - |
dc.identifier.issnl | 0006-3444 | - |