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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-03-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13660-021-02581-3 |