On maximum likelihood estimators for a threshold autoregression 1 1 Research was partly supported by

Abstract For a stationary ergodic self-exciting threshold autoregressive model with single threshold parameter, Chan (1993) obtained the consistency and limiting distribution of the least-squares estimator for the underlying true parameters. In this paper, we derive the similar results for the maximum likelihood estimators of the same model under some regularity conditions on the error density, not necessarily Gaussian.

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