$M$-estimates of SETAR model parameters

Authors

  • Dragan Djorić University of Belgrade, Faculty of Organizational Sciences, Jove Ilića 154, Belgrade, Yugoslavia Author

Keywords:

Autoregressive threshold model, $M$-estimates, strong consistency

Subjects:

62M10

Abstract

For a stationary ergodic self-exiting threshold autoregressive model with single threshold parameter Chan (1993) obtained the consistency of the least-squares estimator and Qian (1998) proved it for the maximum likelihood estimator. The aim of this paper is to derive the similar results for the M-estimates of the same model under some regularity conditions.

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Published

2002-04-15

Issue

Vol. 54 No. 1–2 (2002): Vol. 54, Issue 1–2

Section

Articles

License

Copyright (c) 2002 Authors retain copyright to their work.

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.