Abstract
It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson Process.
Citation
K. S. Chan. "Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model." Ann. Statist. 21 (1) 520 - 533, March, 1993. https://doi.org/10.1214/aos/1176349040
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