- On threshold moving-average models
- Journal of Time Series Analysis
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
In this paper the class of discrete self-exciting threshold moving-average (SETMA) models is studied in some detail. In particular, we consider various problems associated with the identification, estimation and testing of these models. A simple method for distinguishing between low order moving average (MA) and low order SETMA models is presented. Some simulation results illustrate the performance of the proposed method. We also derive a Lagrange multiplier (LM) test statistic for testing a linear MA model against a SETMA model. The small sample performance of the LM test is evaluated in a Monte Carlo study. A real example is used to illustrate the results.
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