Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes

Han Li, Kai Yang and Dehui Wang
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Han Li: Jilin University
Kai Yang: Jilin University
Dehui Wang: Jilin University

Computational Statistics, 2017, vol. 32, issue 4, No 18, 1597-1620

Abstract: Abstract This article redefines the self-exciting threshold integer-valued autoregressive (SETINAR(2,1)) processes under a weaker condition that the second moment is finite, and studies the quasi-likelihood inference for the new model. The ergodicity of the new processes is discussed. Quasi-likelihood estimators for the model parameters and the asymptotic properties are obtained. Confidence regions of the parameters based on the quasi-likelihood method are given. A simulation study is conducted for the evaluation of the proposed approach and an application to a real data example is provided.

Keywords: SETINAR process; Integer-valued threshold models; Confidence region (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00180-017-0748-9

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