Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model

DOI10.1080/03610926.2013.786786zbMath1329.62387OpenAlexW1995830780MaRDI QIDQ3462386

Mei Li Zhang, Zhi-Wen Zhao, Cui-Xin Peng, De-Hui Wang

Publication date: 5 January 2016

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

Full work available at URL: https://doi.org/10.1080/03610926.2013.786786

zbMATH Keywords

asymptotic normalityconfidence regionempirical likelihoodleast squares estimationgeneralized random coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62)

Related Items (3)

Random autoregressive models: A structured overview ⋮ Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models ⋮ Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

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