On non-stationary threshold autoregressive models

Weidong Liu; Shiqing Ling; Qi-Man Shao

doi:10.3150/10-BEJ306

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Home > Journals > Bernoulli > Volume 17 > Issue 3 > Article

August 2011 On non-stationary threshold autoregressive models

Weidong Liu, Shiqing Ling, Qi-Man Shao

Bernoulli 17(3): 969-986 (August 2011). DOI: 10.3150/10-BEJ306

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Abstract

In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting behaviors of the TAR(1) process are very different from those of the classical unit root model and the explosive AR(1).

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Weidong Liu. Shiqing Ling. Qi-Man Shao. "On non-stationary threshold autoregressive models." Bernoulli 17 (3) 969 - 986, August 2011. https://doi.org/10.3150/10-BEJ306