Testing for double threshold autoregressive conditional heteroscedastic model

C. S. WONG, Wai Keung LI

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22 Citations (Scopus)

Abstract

The testing problem for the hypothesis of linearity against the double threshold autoregressive conditional heteroscedastic model is addressed. The, problem is nonstandard as the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We will show that the asymptotic null distribution of the Lagrange-multiplier test statistic is a functional of a zero-mean Gaussian process. In some cases, we give the upper percentage points of the test statistic. The performance of the test statistic is illustrated by extensive simulation experiments and an example. Copyright © 2000 Institute of Statistical Science, Academia Sinica.
Original languageEnglish
Pages (from-to)173-189
JournalStatistica Sinica
Volume10
Issue number1
Publication statusPublished - Jan 2000

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Heteroscedastic Model
Conditional Model
Test Statistic
Testing
Lagrange multiplier Test
Threshold Parameter
Percentage Points
Nuisance Parameter
Null Distribution
Gaussian Process
Linearity
Null hypothesis
Asymptotic distribution
Simulation Experiment
Zero
Conditional model
Test statistic

Citation

Wong, C. S., & Li, W. K. (2000). Testing for double threshold autoregressive conditional heteroscedastic model. Statistica Sinica, 10(1), 173-189.

Keywords

  • Conditional heteroscedasticity
  • Gaussian process
  • Lag- range-multiplier test
  • Threshold time series model