Testing for structural change of AR model to threshold AR model

Ist ván Berkes; Lajos Horváth; Shiqing Ling; Johannes Schauer

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Testing for structural change of AR model to threshold AR model

机译：测试从AR模型到阈值AR模型的结构变化

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The purpose of this article is to develop the likelihood ratio test for the structural change of an AR model to a threshold AR model. It is shown that the log-likelihood ratio test converges to the maxima of a two-parameter Gaussian process in distribution. This limiting distribution is novel and we tabulate the critical values. Some simulations are carried out to examine the finite-sample performance of this test statistic. This article also includes a weak convergence of a two-parameter marked empirical process, which is of independent interest

机译：本文的目的是为AR模型向阈值AR模型的结构变化开发似然比检验。结果表明，对数似然比检验在分布中收敛于两参数高斯过程的最大值。这种极限分布是新颖的，我们将临界值制成表格。进行了一些模拟，以检验该测试统计量的有限样本性能。本文还包括两个参数标记的经验过程的弱收敛性，这是独立关注的

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来源
《Journal of Time Series Analysis》 |2011年第5期|p.547-565|共19页
作者
Ist ván Berkes; Lajos Horváth; Shiqing Ling; Johannes Schauer;
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正文语种 eng
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AR model; threshold AR model; likelihood ratio test; structural change; marked empirical process;

机译：AR模型;门限AR模型似然比检验;结构变化;明显的经验过程;

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1. Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model [J] . Ke Zhu, Shiqing Ling Journal of Time Series Analysis . 2012,第2期

机译：AR（p）模型向阈值AR（p）模型的结构变化的似然比检验
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Testing for structural change of AR model to threshold AR model

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