On Likelihood Ratio Tests for Threshold Autoregression
Author:
Affiliation:
1. University of Chicago; USA
2. University of Kent at Canterbury; UK
Publisher
Wiley
Subject
Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.2517-6161.1990.tb01800.x/fullpdf
Reference16 articles.
1. Asymptotic theory of certain goodness of fit criterion based on stochastic processes;Anderson;Ann. Math. Statist.,1952
2. Time Series: Theory and Methods
3. Testing for threshold autoregression;Chan,1988
4. On the use of the deterministic Lyapunov functions for the ergodicity of stochastic difference equations;Chan;Adv. Appl. Probab.,1985
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