Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model

DOI10.1080/03610926.2013.786786MaRDI QIDQ3462386zbMATH OpenOpenAlexFDO

Authors Zhiwen Zhao, Dehui Wang, Cui-Xin Peng, Meili Zhang

Publication date 5 January 2016

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.786786

zbMATH Keywords

asymptotic normalityconfidence regionempirical likelihoodgeneralized random coefficient autoregressive modelleast squares estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62)

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Cites work

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• An Empirical Likelihood Goodness-of-Fit Test for Time Series
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• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• Generalized empirical likelihood tests in time series models with potential identification failure
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Parameter estimation for generalized random coefficient autoregressive processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Statistical inference for generalized random coefficient autoregressive model
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes

Cited in

(10)

• Parameter estimation for generalized random coefficient autoregressive processes
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• Statistical inference for generalized random coefficient autoregressive model
• Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
• scientific article; zbMATH DE number 437490 (Why is no real title available?)
• Random autoregressive models: a structured overview
• Strong consistency for the conditional self-weighted M estimator of GRCA(p) Models
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
• Asymptotics for the conditional self-weighted M estimator of GRCA(p) models and its statistical inference
• Variable selection in generalized random coefficient autoregressive models

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