Coefficient constancy test in generalized random coefficient autoregressive model

DOI10.1016/j.amc.2013.03.135zbMath1293.62210OpenAlexW2010953554MaRDI QIDQ2511701

De-Hui Wang, Cui-Xin Peng, Zhi-Wen Zhao

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.03.135

zbMATH Keywords

empirical likelihoodestimating equationgeneralized random coefficient autoregressive modelconditional least-squares estimatortesting the coefficient constancy

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Variable selection in generalized random coefficient autoregressive models ⋮ Random autoregressive models: A structured overview ⋮ A new minification integer‐valued autoregressive process driven by explanatory variables ⋮ Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Unnamed Item ⋮ Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions ⋮ Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes ⋮ Locally most powerful test for the random coefficient autoregressive model ⋮ Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors ⋮ Random coefficients integer-valued threshold autoregressive processes driven by logistic regression ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model ⋮ Quadratic random coefficient autoregression with linear-in-parameters volatility

Cites Work

• Unnamed Item
• Unnamed Item
• An adaptive empirical likelihood test for parametric time series regression models
• Generalized empirical likelihood tests in time series models with potential identification failure
• Empirical likelihood ratio confidence regions
• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• Empirical likelihood for linear models
• The saddle point theorem of Kuhn and Tucker in ordered vector spaces
• Parameter estimation for generalized random coefficient autoregressive processes
• Optimum influence of initial observations in regression models with \(AR(2)\) errors
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Asymptotic optimal inference for a class of nonlinear time series models
• Statistical inference for generalized random coefficient autoregressive model
• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood confidence regions in time series models
• β-mixing and moment properties of RCA models with application to GARCH(p,q)
• An Empirical Likelihood Goodness-of-Fit Test for Time Series