Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

Abstract This paper considers the parameter estimation problem of a first-order threshold autoregressive conditional heteroscedasticity model by using the empirical likelihood method. We obtain the empirical likelihood ratio statistic based on the estimating equation of the least squares estimation...

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Bibliographic Details
Main Authors: Cuixin Peng, Zhiwen Zhao
Format: Article
Language:English
Published: SpringerOpen 2021-03-01
Series:Journal of Inequalities and Applications
Subjects:
Empirical likelihood
Threshold autoregressive model
Conditional heteroscedasticity
Confidence region
Least squares method
Online Access:https://doi.org/10.1186/s13660-021-02581-3

Internet

https://doi.org/10.1186/s13660-021-02581-3

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