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Testing for a Linear MA Model Against Threshold MA Models

Authors Ling, Shiqing View this author's profile
Tong, H.
Issue Date 2005
Source The Annals of Statistics , v. 33, (6), 2005, DEC, p. 2529-2552
Summary 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.
ISSN 0090-5364
Rights © Institute of Mathematical Statistics; article available at
Language English
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