作者：Wong, CS; Li, WK
摘要：This paper addresses the null distribution of the Lagrange-multiplier statistic for the threshold autoregression with conditional heteroscedasticity. The problem is nonstandard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We generalise the results of Chan (1990) and Chan & Tong (1990) to show that the asymptotic null distribution of the Lagrange-multiplier statistic is a functional of a zero-mean Gaussian process. The generalisation is not ...
