Empirical Likelihood for Threshold Autoregressive Models

DOI10.1080/03610926.2010.535627zbMath1237.62040OpenAlexW1990118233MaRDI QIDQ2884896

Lixin Song, Jinghai Feng, Yan-Hong Chen

Publication date: 18 May 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.535627

zbMATH Keywords

asymptotic efficiencyestimating equations

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors ⋮ A review of empirical likelihood methods for time series

Cites Work

• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence regions
• Empirical likelihood for linear models
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional

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