Another approach for the asymptotic properties of threshold vector ARMA models

• Guy Mélard ^[1] ; Marcella Niglio ^[2]
  1. [1] Université Libre de Bruxelles

     Université Libre de Bruxelles

     Arrondissement Brussel-Hoofdstad, Bélgica

     
  2. [2] University of Salerno

     University of Salerno

     Fisciano, Italia

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 35, Nº. 1, 2026, págs. 1-22
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • In the present contribution, we propose and exploit a link between vector threshold autoregressive moving average (TVARMA) and time-dependent VARMA (tdVARMA) models. We show that an adequate parametrization permits the TVARMA model to be included in the broad class of tdVARMA structures. It allows us to derive new results on the asymptotic properties of the estimators of TVARMA parameters obtained under weaker conditions than those given in the literature, at least when the threshold variable is exogenous. As a consequence, new tests are proposed. A simulation study gives evidence of the achieved results that are applied to study the behavior of the monthly CPI, US unemployment, and US federal funds effective rate.