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頁籤選單縮合
題名 | Testing for Double Threshold Autoregressive Conditional Heteroscedastic Model |
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作 者 | Wong,C. S.; Li,W. K.; | 書刊名 | Statistica Sinica |
卷期 | 10:1 2000.01[民89.01] |
頁次 | 頁173-189 |
分類號 | 319.51 |
關鍵詞 | 條件異方差性; 高斯法; 閾時序模型; 自迴歸; Conditional heteroscedasticity; Gaussian process; Lagrange-multiplier test; Threshold time series model; |
語文 | 英文(English) |
英文摘要 | The testing problem for the hypothesis of linearity against the double threshold autoregressive conditional heteroscedastic model is addressed. The problem is nonstandard as the threshold parameter is nuisance parameter which is absent under the null hypothesis. We will show that the asymptotic null distribution of the Lagrange-multiplier test statistic is a functional of a zero-mean Gaussian process. In some cases, we give the upper percentage points of the test statistic. The performance of the test statistic is illustrated by extensive simulation experiments and an example. |
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