Nonlinearity testing and modeling for threshold moving average models

Rubing Liang, Cuizhen Niu, Qiang Xia and Zhiqiang Zhang

Journal of Applied Statistics, 2015, vol. 42, issue 12, 2614-2630

Abstract: In this paper, we suggest a simple test and an easily applicable modeling procedure for threshold moving average (TMA) models. Firstly, based on the fitted residuals by maximum likelihood estimate (MLE) for MA models, we construct a simple statistic, which is obtained by linear arrange regression and follows F -distribution approximately, to test for threshold nonlinearity and specify the threshold variables. And then, we use some scatterplots to identify the number and locations of the potential thresholds. Finally, with the statistic and Akaike information criterion, we propose the procedure to build TMA models. Both the power of test statistic and the convenience of modeling procedure can work very well demonstrated by simulation experiments and the application to a real example.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:42:y:2015:i:12:p:2614-2630

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DOI: 10.1080/02664763.2015.1043872

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