Robust estimation for Threshold Autoregressive Moving-Average models
Robust estimation for Threshold Autoregressive Moving-Average models
Threshold autoregressive moving-average (TARMA) models extend the popular TAR model and are among the few parametric time series specifications to include a moving average in a non-linear setting. The state dependent reactions to shocks is particularly appealing in Economics and Finance. However, no theory is currently available when the data …