The limiting behavior of least absolute deviation estimators for threshold autoregressive models

Lihong Wang and Jinde Wang

Journal of Multivariate Analysis, 2004, vol. 89, issue 2, 243-260

Abstract: The asymptotic behavior of the least squares (LS) estimators of the parameters in threshold autoregressive models has been completely studied in the literature. It is well known that in some cases the least absolute deviation (LAD) estimators are superior to the LS-estimators. This paper is devoted to studying the strong consistency and the asymptotic normality of the LAD-estimators in two cases where the threshold is known and/or unknown.

Keywords: Asymptotic; normality; Least; absolute; deviation; estimation; Nonlinear; time; series; Strong; consistency; Threshold; autoregressive; models (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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