Empirical Likelihood for an Autoregressive Model with Explanatory Variables

DOI10.1080/03610920903411267zbMath1208.62144OpenAlexW2106705814MaRDI QIDQ3083804

De-Hui Wang, Zhi-Wen Zhao

Publication date: 23 March 2011

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

Full work available at URL: https://doi.org/10.1080/03610920903411267

zbMATH Keywords

asymptotic normalityconfidence regionleast squares estimation

Mathematics Subject Classification ID

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

Related Items

Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ Bayesian inference for quantile autoregressive model with explanatory variables ⋮ A review of empirical likelihood methods for time series ⋮ Empirical likelihood for first-order mixed integer-valued autoregressive model ⋮ Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data ⋮ Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes ⋮ Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model ⋮ Empirical likelihood confidence regions for autoregressive models with explanatory variables

Cites Work

• 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
• On the asymptotic properties of least-squares estimators in autoregression
• Strong consistency of least squares estimates in dynamic models
• Empirical likelihood and general estimating equations
• The empirical likelihood goodness-of-fit test for regression models
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood confidence regions in time series models
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• An Empirical Likelihood Goodness-of-Fit Test for Time Series