Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
نویسندگان
چکیده
منابع مشابه
Consistency and Limiting Distribution of the Maximum Likelihood Estimator of a Generalized Threshold Model
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We shall study the general regression model Y = g 0 (X) + ", where X and " are independent. The available information about g 0 can be expressed by g 0 2 G for some class G. As an estimator of g 0 we choose the least squares estimator. We shall give necessary and suucient conditions for consistency of this estimator in terms of (basically) geometric properties of G. Our main tool will be the th...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1993
ISSN: 0090-5364
DOI: 10.1214/aos/1176349040