- Title
- Efficient estimation in smooth threshold autoregressive (1) models
- Creator
- Nur, D.; Nair, G. M.; Yatawara, N. D.
- Relation
- Journal of Statistical Theory and Practice Vol. 2, Issue 1, p. 83-94
- Relation
- http://journalstp.gracescientific.com/Volume2Number1.aspx
- Publisher
- Grace Scientific Publishing
- Resource Type
- journal article
- Date
- 2008
- Description
- Verifiable conditions are given for the existence of efficient estimation in Smooth Threshold Autoregressive models of order 1. The paper establishes local asymptotic normality in the semi-parametric setting which is then used to discuss adaptive and efficient estimates of the models. It is found that the adaptation is satisfied if the error densities are symmetric. Simulation results are presented to compare the conditional least squares estimate with the adaptive and efficient estimates for the models.
- Subject
- adaptive estimation; efficient estimation; locally asymptotically normal; non-linear time series; smooth threshold autoregressive; stationarity
- Identifier
- http://hdl.handle.net/1959.13/41259
- Identifier
- uon:4695
- Identifier
- ISSN:1559-8608
- Language
- eng
- Full Text
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| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | ATTACHMENT01 | Publisher version (open access) | 163 KB | Adobe Acrobat PDF | View Details Download |