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| Title: | Testing a linear MA model against threshold MA models |
| Authors: | Ling, Shi-Qing
Tong, H. |
| Keywords: | Invertibility
Likelihood ratio test
MA model
Marked empirical process
Threshold MA model |
| Issue Date: | Dec-2005 |
| Citation: | The Annals of statistics, 2005, v. 33, no. 6, p. 2529-2552 |
| Abstract: | This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process. Under local alternatives, it is shown that this test has nontrivial asymptotic power. The results are based on a new weak convergence of a linear marked empirical process, which is independently of interest. This paper also gives an invertible expansion of the threshold MA models. |
| Rights: | © Institute of Mathematical Statistics; article available at http://projecteuclid.org/euclid.aos/1140191665 |
| URI: | http://hdl.handle.net/1783.1/5932 |
| Appears in Collections: | MATH Journal/Magazine Articles
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