Testing for Multivariate Threshold Autoregression

Shu-Ing LIU


In this article we propose a testing procedure for multivariate threshold autoregression with the disturbances following conditional homoscedastic martingale difference sequences. A right-tailed asymptotic distribution of the proposed test statistics is derived and the accuracy is investigated by simulations. The numerical simulations however show a remarkable robustness to a miss-specification of the order of the AR model. This encourages one to apply the asymptotic results, which will make the computation more convenient in actual applications. Furthermore, some numerical simulations indicate that the proposed test is more powerful than the test in [12]. Key Words: Eigenvalues; Lagrange-multiplier test; Likelihood ratio test; Martingale differences; Threshold autoregression

Full Text:


DOI: http://dx.doi.org/10.3968%2Fj.sms.1923845220120201.001


  • There are currently no refbacks.


If you have already registered in Journal A and plan to submit article(s) to Journal B, please click the CATEGORIES, or JOURNALS A-Z on the right side of the "HOME".

We only use three mailboxes as follows to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases:
caooc@hotmail.com; sms@cscanada.net; sms@cscanada.org

Copyright © 2010 Canadian Research & Development Centre of Sciences and Cultures
Address: 9375 Rue de Roissy Brossard, Québec, J4X 3A1, Canada

Telephone: 1-514-558 6138