ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS |
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| Authors: | PM Kulkarni |
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| Institution: | Dept. Mathematics and Statistics, University of South Alabama, Mobile, AL, USA 36688. |
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| Abstract: | Results of Petrucelli & Woolford (1984) for a first-order threshold autoregressive model are considered from a robust point of view. Robust estimators of the threshold parameters of the model are obtained and their asymptotic normality is proved. Testing the equality of the threshold parameters is considered using the robust analogues of Wald and score test statistics. Limiting distributions of these statistics are given under both null and alternative hypotheses. |
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| Keywords: | Robust estimation M-estimation Wald and score statistics non-linear models TAR (1) model |
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