Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
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Publication:2072816
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Cites work
- A threshold AR(1) model
- Asymptotic theory and unified confidence region for an autoregressive model
- Coefficient constancy test in generalized random coefficient autoregressive model
- Conditional heteroscedasticity test for Poisson autoregressive model
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood confidence intervals for linear regression coefficients
- Empirical likelihood for a varying coefficient partially linear model with diverging number of parameters
- Empirical likelihood for an autoregressive model with explanatory variables
- Empirical likelihood for generalized linear models with missing responses
- Empirical likelihood for heteroscedastic partially linear models
- Empirical likelihood for linear models
- Empirical likelihood for linear models under negatively associated errors
- Empirical likelihood for linear models with missing responses
- Empirical likelihood for partially linear models
- Empirical likelihood for partly linear models with errors in all variables
- Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
- Empirical likelihood inference for INAR(1) model with explanatory variables
- Empirical likelihood inference for random coefficient INAR(p) process
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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- Large sample inference for conditional exponential families with applications to nonlinear time series
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Statistical inference for generalized random coefficient autoregressive model
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
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Cited in
(5)- Empirical Likelihood for Threshold Autoregressive Models
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
- 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
- Threshold heteroskedastic models
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