Empirical Likelihood for Threshold Autoregressive Models

DOI10.1080/03610926.2010.535627MaRDI QIDQ2884896zbMATH OpenOpenAlexFDO

Authors Yanhong Chen, Lixin Song, Jinghai Feng

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

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

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Cites work

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

Cited in

(7)

• Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
• A review of empirical likelihood methods for time series
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
• Empirical likelihood inference in autoregressive models with time-varying variances
• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood

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