Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions

DOI10.1016/j.cam.2018.08.048zbMath1408.62153MaRDI QIDQ1757362

Xianqiang Yang

Publication date: 4 January 2019

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

Full work available at URL: https://doi.org/10.1016/j.cam.2018.08.048

zbMATH Keywords

empirical likelihood; auxiliary information; generalized random coefficient autoregressive model; least square estimator; martingale difference

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

60G05: Foundations of stochastic processes