Optimal test for PAR(1) dependence against PSETAR(2,1,1) models with specified threshold

M. Merzougui

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 4, 872-886

Abstract: This paper is devoted to testing a classical periodic autoregressive against a periodic threshold autoregressive model with specified threshold. The local asymptotic normality property is shown via the adapted sufficient conditions due to Swensen (1985). Using this result we consider the case where the innovation density is specified, and we obtain a parametric local asymptotic “most stringent” test.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2013.853788 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:45:y:2016:i:4:p:872-886

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2013.853788

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().