Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/12270
Title: Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models
Authors: Ip, WC
Wong, H 
Li, Y
An, H
Keywords: Heteroscedasticity
Jump point
Threshold
Time delay
Wavelet
Issue Date: 2003
Publisher: Biometrika Trust
Source: Biometrika, 2003, v. 90, no. 3, p. 703-716 How to cite?
Journal: Biometrika 
Abstract: We consider the testing and estimation of thresholds in heteroscedastic threshold autoregressive models with an unknown number of thresholds. A test statistic based on empirical wavelet coefficients is proposed. The asymptotic distribution of the test statistic is established and consistent estimators of the thresholds and the number of thresholds are given. A Monte Carlo study and a real example are used to assess the performance of our method.
URI: http://hdl.handle.net/10397/12270
ISSN: 0006-3444
DOI: 10.1093/biomet/90.3.703
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