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...

Full description

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
id doaj-8caa496dd04f4938b0d62b9a9db02200
record_format Article
spelling doaj-8caa496dd04f4938b0d62b9a9db022002021-03-28T11:03:43ZengSpringerOpenJournal of Inequalities and Applications1029-242X2021-03-012021111610.1186/s13660-021-02581-3Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity modelCuixin Peng0Zhiwen Zhao1School of Foreign Languages, Jilin Normal UniversityCollege of Mathematics, Jilin Normal UniversityAbstract 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 and construct the confidence region for the model parameters. Simulation studies indicate that the empirical likelihood method outperforms the normal approximation-based method in terms of coverage probability.https://doi.org/10.1186/s13660-021-02581-3Empirical likelihoodThreshold autoregressive modelConditional heteroscedasticityConfidence regionLeast squares method
collection DOAJ
language English
format Article
sources DOAJ
author Cuixin Peng
Zhiwen Zhao
spellingShingle Cuixin Peng
Zhiwen Zhao
Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
Journal of Inequalities and Applications
Empirical likelihood
Threshold autoregressive model
Conditional heteroscedasticity
Confidence region
Least squares method
author_facet Cuixin Peng
Zhiwen Zhao
author_sort Cuixin Peng
title Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
title_short Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
title_full Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
title_fullStr Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
title_full_unstemmed Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
title_sort empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
publisher SpringerOpen
series Journal of Inequalities and Applications
issn 1029-242X
publishDate 2021-03-01
description 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 and construct the confidence region for the model parameters. Simulation studies indicate that the empirical likelihood method outperforms the normal approximation-based method in terms of coverage probability.
topic Empirical likelihood
Threshold autoregressive model
Conditional heteroscedasticity
Confidence region
Least squares method
url https://doi.org/10.1186/s13660-021-02581-3
work_keys_str_mv AT cuixinpeng empiricallikelihoodinferenceforthresholdautoregressiveconditionalheteroscedasticitymodel
AT zhiwenzhao empiricallikelihoodinferenceforthresholdautoregressiveconditionalheteroscedasticitymodel
_version_ 1724200503154311168

Similar Items