Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models

DOI10.1007/s11425-016-9321-xzbMath1434.62054OpenAlexW2978940206MaRDI QIDQ2010462

Xin-Yuan Song, Xiaoqian Liu, Yong Zhou

Publication date: 27 November 2019

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-016-9321-x

zbMATH Keywords

weighted composite quantile regressionmodified likelihood ratio testdouble-threshold autoregressive conditional heteroscedastic (DTARCH) modelDTARCH modelrestricted WCQR estimatorsunrestricted WCQR estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Economic time series analysis (91B84)

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