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Identification of Threshold Autoregressive Moving Average Models

  • Qiang Xia
  • Heung WongEmail author
Chapter
  • 923 Downloads
Part of the Fields Institute Communications book series (FIC, volume 78)

Abstract

Due to the lack of a suitable modeling procedure and the difficulty to identify the threshold variable and estimate the threshold values, the threshold autoregressive moving average (TARMA) model with multi-regime has not attracted much attention in application. Therefore, the chief goal of our paper is to propose a simple and yet widely applicable modeling procedure for multi-regime TARMA models. Under no threshold case, we utilize extended least squares estimate (ELSE) and linear arranged regression to obtain a test statistic \(\hat{F}\), which is proved to follow an approximate F distribution. And then, based on the statistic \(\hat{F}\), we employ some scatter plots to identify the number and locations of the potential thresholds. Finally, the procedures are considered to build a TARMA model by these statistics and the Akaike information criterion (AIC). Simulation experiments and the application to a real data example demonstrate that both the power of the test statistic and the model-building can work very well in the case of TARMA models.

Keywords

Arranged regression Nonlinearity test TMA Model 

Notes

Acknowledgements

We thank the two Referees for their criticisms and suggestions which have led to improvements of the paper. The research of Qiang Xia was supported by National Social Science Foundation of China (No:12CTJ019) and Ministry of Education in China Project of Humanities and Social Sciences (Project No.11YJCZH195).The research of Heung Wong was supported by a grant of the Research Committee of The Hong Kong Polytechnic University (Code: G-YBCV).

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.College of Mathematics and InformaticsSouth China Agricultural UniversityGuangzhouChina
  2. 2.Department of Applied MathematicsThe Hong Kong Polytechnic UniversityKowloonHong Kong, China

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