Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood

DOI10.1080/03610918.2020.1855445OpenAlexW3110716502MaRDI QIDQ6171301

Jingwen Huang, De-Hui Wang, Jin Chen, Cong Li

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1855445

zbMATH Keywords

hypothesis testempirical likelihoodmultivariate RCAR(1) model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

A new bivariate autoregressive model driven by logistic regression ⋮ A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5

Cites Work

• Statistical inference in a random coefficient panel model
• Empirical likelihood ratio confidence regions
• Random coefficient autoregressive models: an introduction
• Empirical likelihood and general estimating equations
• Testing for randomness in a random coefficient autoregression model
• A test of correlation in the random coefficients of an autoregressive process
• Adaptive estimation in a random coefficient autoregressive model
• UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
• Estimation in nonstationary random coefficient autoregressive models
• Estimation in Random Coefficient Autoregressive Models
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Iterated Random Functions
• √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• The Hartman-Wintner Law of the Iterated Logarithm for Martingales
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