Testing for the buffered autoregressive processes

Zhu, Ke and Yu, Philip L.H. and Li, Wai Keung (2013): Testing for the buffered autoregressive processes.

Abstract

This paper investigates a quasi-likelihood ratio (LR) test for the thresholds in buffered autoregressive processes. Under the null hypothesis of no threshold, the LR test statistic converges to a function of a centered Gaussian process. Under local alternatives, this LR test has nontrivial asymptotic power. Furthermore, a bootstrap method is proposed to obtain the critical value for our LR test. Simulation studies and one real example are given to assess the performance of this LR test. The proof in this paper is not standard and can be used in other non-linear time series models.

• Item Type: MPRA Paper
• Language: English
• Keywords: AR(p) model; Bootstrap method; Buffered AR(p) model; Likelihood ratio test; Marked empirical process; Threshold AR(p) model.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General

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