JSM 2005 Online Program

Abstract #302296

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	86
Type:	Invited
Date/Time:	Monday, August 8, 2005 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #302296
Title:	Model Diagnosis for SETAR Time Series
Author(s):	Hira L. Koul*+ and Winfried Stute and Fang Li
Companies:	Michigan State University and Michigan State University and University of Giessen
Address:	A435 WH, East Lansing, MI, 48824,
Keywords:	Marked point processes ; martingale transform
Abstract:	This talk will discuss asymptotically distribution free (ADF) tests for fitting self-exciting threshold autoregressive (SETAR) models based on a marked empirical process of the residuals. Also discussed are the asymptotic behavior of the residual empirical process and ADF tests for the error distribution in SETAR models. We find that under some mild conditions, the asymptotic null behavior of both these processes does not depend on the preliminary estimator of the threshold parameter. Moreover, somewhat surprisingly, the asymptotic behavior of the residual empirical process in these models is the same as in the one-sample location model---as long as the residuals are based on an asymptotically linear estimator of the line segment parameters. Some simulation results also will be discussed.

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