Abstract
Verifiable conditions are given for the existence of efficient estimation in Smooth Threshold Autoregressive models of order 1. The paper establishes local asymptotic normality in the semi-parametric setting which is then used to discuss adaptive and efficient estimates of the models. It is found that the adaptation is satisfied if the error densities are symmetric. Simulation results are presented to compare the conditional least squares estimate with the adaptive and efficient estimates for the models.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
