On maximum likelihood estimators for a threshold autoregression

✍ Scribed by Lianfen Qian

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 188 KB
• Volume: 75
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(98)00113-x

✦ Synopsis

For a stationary ergodic self-exciting threshold autoregressive model with single threshold parameter, Chan (1993) obtained the consistency and limiting distribution of the least-squares estimator for the underlying true parameters. In this paper, we derive the similar results for the maximum likelihood estimators of the same model under some regularity conditions on the error density, not necessarily Gaussian.