Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
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Publication:1757362
DOI10.1016/j.cam.2018.08.048zbMath1408.62153MaRDI QIDQ1757362
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
empirical likelihood; auxiliary information; generalized random coefficient autoregressive model; least square estimator; martingale difference
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
60G05: Foundations of stochastic processes