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Activity Number:
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379
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Type:
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Contributed
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Date/Time:
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Wednesday, August 9, 2006 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #305874 |
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Title:
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Testing for Threshold Moving Average with Conditional Heteroscedasticity
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Author(s):
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Guodong Li*+ and Wai K. Li
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Companies:
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The University of Hong Kong and The University of Hong Kong
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Address:
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Department of Statistics and Actuarial Science, Hong Kong, 00852, China
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Keywords:
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GARCH errors ; Gaussian process ; likelihood ratio test ; threshold MA model
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Abstract:
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The recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with i.i.d. errors. This article generalizes their results to the case with GARCH errors and a new quasi-likelihood ratio test is derived. The generalization is not direct since the techniques developed for TMA models heavily depend on the property of p-dependence which is no longer satisfied by the time series models with conditional heteroscedasticity. The new test statistic in this article is shown to converge weakly to a functional of a centered Gaussian process under the null hypothesis of no threshold and it is also proved that the test has nontrivial asymptotic power under local alternatives. Monte Carlo experiments demonstrate the necessity of our test as a moving average time series has a time varying conditional variance.
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