This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...

This paper studies the least squares estimator (LSE) of the multiple-regime threshold autoregressive (TAR) model and establishes its asymptotic theory. It is shown that the LSE is strongly consistent. When the autoregressive function is discontinuous over each threshold, the estimated thresholds...

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition alpha + beta 1. The former has the usual unit root distribution and the latter is a...

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β  1. The former has the usual unit root distribution and the latter is a...