Testing for threshold autoregression with conditional heteroscedasticity

Biometrika

Volumn 84, Issue 2, 1997, Pages 407-418

  Wong, C S ^a   Li, W K ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Conditional heteroscedasticity; Gaussian process; Lagrange multiplier test; Threshold time series model

Indexed keywords

EID: 0000235574     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.2.407     Document Type: Article

References (20)

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