TESTING FOR A LINEAR MA MODEL AGAINST THRESHOLD MA MODELS

By S. Ling, Howell Tong. 2005

78 citations recorded by the source corpus.

This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process. Under local alternatives, it is shown that this test has nontrivial asymptotic power. The results are based on a new weak convergence of a linear marked empirical process, which is independently of interest. This paper also gives an invertible expansion of the threshold MA models.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/91e8495096c20266fe35bf2e29e277e58e462a45

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Philip S. Yu
2. Bo Guan
3. Guodong Li
4. Wai Keung Li
5. S. Ling
6. Xiaofeng Shao
7. K. Zhu
8. Michael Mcaleer

In Statistics and Probability

1. Philip S. Yu
2. Bo Guan
3. Guodong Li
4. Wai Keung Li
5. Michael Mcaleer
6. Jeroen K. Vermunt

Citations in the corpus

• Ergodicity and invertibility of threshold moving-average models (2007, unknown): “Ling and Tong (2005) obtained a sufficient condition for the invertibility of a general TMA model.”
• Hysteretic autoregressive time series models (2015, background): “Threshold time series models have been very successful since their introduction by Tong (1978) and Tong & Lim (1980); see also Chan (1993), Tsay (1998), Hansen (2000), and Ling & Tong (2005).”