Zhu, Ke and Yu, Philip L.H. and Li, Wai Keung (2013): Testing for the buffered autoregressive processes.

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Abstract
This paper investigates a quasilikelihood ratio (LR) test for the thresholds in buffered autoregressive processes. Under the null hypothesis of no threshold, the LR test statistic converges to a function of a centered Gaussian process. Under local alternatives, this LR test has nontrivial asymptotic power. Furthermore, a bootstrap method is proposed to obtain the critical value for our LR test. Simulation studies and one real example are given to assess the performance of this LR test. The proof in this paper is not standard and can be used in other nonlinear time series models.
Item Type:  MPRA Paper 

Original Title:  Testing for the buffered autoregressive processes 
English Title:  Testing for the buffered autoregressive processes 
Language:  English 
Keywords:  AR(p) model; Bootstrap method; Buffered AR(p) model; Likelihood ratio test; Marked empirical process; Threshold AR(p) model. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  51706 
Depositing User:  Dr. Ke Zhu 
Date Deposited:  26 Nov 2013 07:34 
Last Modified:  30 Sep 2019 21:25 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/51706 