Testing for threshold autoregression with conditional heteroscedasticity

Mathematics

• Conditionals 100%
• Heteroscedasticity 100%
• Autoregression 100%
• Statistics 66%
• Null 66%
• Lagrange Multiplier 66%
• Asymptotics 33%
• Monte Carlo 33%
• True Model 33%
• Asymptotic Distribution 33%
• Conditional Variance 33%
• Gaussian Process 33%
• Process Variable 33%
• Nuisance Parameter 33%
• Percentage Point 33%
• Brownian Bridge 33%

Keyphrases

• Conditional Heteroscedasticity 100%
• Threshold Autoregression 100%
• Lagrange multiplier 66%
• Copyright 33%
• Threshold Parameter 33%
• Nuisance Parameter 33%
• Test Power 33%
• True Model 33%
• Monte Carlo Experiment 33%
• Conditional Variance 33%
• Asymptotic Distribution 33%
• Asymptotic null Distribution 33%
• Gaussian Process 33%
• Null Distribution 33%
• Zero Mean 33%
• Brownian Bridge 33%
• Unconditional Distribution 33%