Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions

DOI10.1016/j.cam.2018.08.048zbMath1408.62153OpenAlexW2888926491MaRDI QIDQ1757362

Xianqiang Yang

Publication date: 4 January 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.08.048

zbMATH Keywords

empirical likelihoodauxiliary informationgeneralized random coefficient autoregressive modelleast square estimatormartingale difference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Foundations of stochastic processes (60G05)

Related Items (2)

Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Generalized empirical likelihood tests in time series models with potential identification failure
• Distribution estimation with auxiliary information for missing data
• An empirical likelihood approach to quantile regression with auxiliary information
• Empirical likelihood ratio confidence regions
• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• Random coefficient autoregressive models: an introduction
• Empirical likelihood for linear models
• Parameter estimation for generalized random coefficient autoregressive processes
• Empirical likelihood and general estimating equations
• \(M\)-estimation and quantile estimation in the presence of auxiliary information
• Statistical inference for generalized random coefficient autoregressive model
• Coefficient constancy test in generalized random coefficient autoregressive model
• Estimation in nonstationary random coefficient autoregressive models
• On estimating distribution functions and quantiles from survey data using auxiliary information
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Limit Theory for Random Coefficient First-Order Autoregressive Process
• Variance Estimation Using Auxiliary Information
• Empirical likelihood ratio confidence intervals for a single functional
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Empirical likelihood estimation for finite populations and the effective usage of auxiliary information

This page was built for publication: Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions