On non-stationary threshold autoregressive models

Details On non-stationary threshold autoregressive models On non-stationary threshold autoregressive models

2011-07-14

arxiv.org/abs/1107.2802v1

Bernoulli 2011, Vol. 17, No. 3, 969-986

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ306 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ306

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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