二维一阶TAR模型系数估计的渐近正态性

Asymptotic Normality of Estimates of Coefficints for 2-Dimensional TAR Models

本文讨论了二维一阶门限自回归模型系数的最小二乘估计，并通过模型所构成的Ｍａｒｋｏｖ链的遍历性，得到了此估计的渐近正态性。

In this paper, we consider the least square estimates of the coefficints for 2-dimentional and 1-order TAR models. By studying the ergodicity of the Markov chain formed by the models,the asymptotic normality of the estimates are given.