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Hellinger distance estimation of SSAR models

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  • Hili, Ouagnina

Abstract

The present paper deals with the statistical inference of the simultaneous switching autoregressive (SSAR) model. This model has been introduced by Kunitomo and Sato (Jpn. Econ. Rev. 50 (2) (1996) 161) in order to take into account the asymmetry in financial and economical time series modelling. Under some conditions which ensure some probabilistic properties of the model, we establish, under other mild assumptions, the asymptotic properties of the minimum Hellinger distance estimates of the parameters. An application to a true data is also given.

Suggested Citation

  • Hili, Ouagnina, 2001. "Hellinger distance estimation of SSAR models," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 305-314, June.
    • Handle: RePEc:eee:stapro:v:53:y:2001:i:3:p:305-314
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    References listed on IDEAS

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    1. Seisho Sato & Naoto Kunitomo, 1996. "Some Properties Of The Maximum Likelihood Estimator In The Simultaneous Switching Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 287-307, May.
    2. Naoto Kunitomo & Seisho Sato, 1999. "Stationary and Non-stationary Simultaneous Switching Autoregressive Models with an Application to Financial Time Series," The Japanese Economic Review, Japanese Economic Association, vol. 50(2), pages 161-190, June.
    3. Kunitomo, Naoto & Sato, Seisho, 1996. "Asymmetry in economic time series and the simultaneous switching autoregressive model," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 1-34, March.
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