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Article: Testing for double threshold autoregressive conditional heteroscedastic model

TitleTesting for double threshold autoregressive conditional heteroscedastic model
Authors
KeywordsConditional heteroscedasticity
Gaussian process
Lagrange-multiplier test
Threshold time series model
Issue Date2000
PublisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/
Citation
Statistica Sinica, 2000, v. 10 n. 1, p. 173-189 How to Cite?
AbstractThe testing problem for the hypothesis of linearity against the double threshold autoregressive conditional heteroscedastic model is addressed. The, problem is nonstandard as the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We will show that the asymptotic null distribution of the Lagrange-multiplier test statistic is a functional of a zero-mean Gaussian process. In some cases, we give the upper percentage points of the test statistic. The performance of the test statistic is illustrated by extensive simulation experiments and an example.
Persistent Identifierhttp://hdl.handle.net/10722/45348
ISSN
2023 Impact Factor: 1.5
2023 SCImago Journal Rankings: 1.368
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWong, CSen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2007-10-30T06:23:28Z-
dc.date.available2007-10-30T06:23:28Z-
dc.date.issued2000en_HK
dc.identifier.citationStatistica Sinica, 2000, v. 10 n. 1, p. 173-189en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45348-
dc.description.abstractThe testing problem for the hypothesis of linearity against the double threshold autoregressive conditional heteroscedastic model is addressed. The, problem is nonstandard as the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We will show that the asymptotic null distribution of the Lagrange-multiplier test statistic is a functional of a zero-mean Gaussian process. In some cases, we give the upper percentage points of the test statistic. The performance of the test statistic is illustrated by extensive simulation experiments and an example.en_HK
dc.format.extent192769 bytes-
dc.format.extent122542 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.subjectConditional heteroscedasticityen_HK
dc.subjectGaussian processen_HK
dc.subjectLagrange-multiplier testen_HK
dc.subjectThreshold time series modelen_HK
dc.titleTesting for double threshold autoregressive conditional heteroscedastic modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=10&issue=1&spage=173&epage=189&date=2000&atitle=Testing+for+double+threshold+autoregressive+conditional+heteroscedastic+modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-0348237082en_HK
dc.identifier.hkuros47761-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0348237082&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume10en_HK
dc.identifier.issue1en_HK
dc.identifier.spage173en_HK
dc.identifier.epage189en_HK
dc.identifier.isiWOS:000085148300015-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridWong, CS=20236705600en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl1017-0405-

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