Empirical likelihood based estimation for a class of functional coefficient ARCH-M models

DOI10.1080/03610926.2018.1554139MaRDI QIDQ5077366OpenAlexFDO

Authors Xiaoshuang Zhou, Pei Xin Zhao, Yiping Yang

Publication date 18 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1554139

zbMATH Keywords

confidence intervalempirical likelihoodARCH-M modelfunctional coefficient model

Mathematics Subject Classification ID

Statistics (62-XX) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 1779488 (Why is no real title available?)
• scientific article; zbMATH DE number 1894667 (Why is no real title available?)
• CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical Likelihood Local Polynomial Regression Analysis of Clustered Data
• Empirical Likelihood Semiparametric Regression Analysis for Longitudinal Data
• Empirical Likelihood for a Varying Coefficient Model With Longitudinal Data
• Empirical likelihood based inference for the derivative of the nonparametric regression function
• Empirical likelihood for linear models
• Empirical likelihood for partial linear models with fixed designs
• Empirical likelihood for partially linear models
• Empirical likelihood for semiparametric varying-coefficient partially linear regression models
• Empirical likelihood methods with weakly dependent processes
• Estimation and Testing Stationarity for Double-Autoregressive Models
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Nonparametric quasi-likelihood
• Selecting the order of an ARCH model
• Semiparametric inference in a GARCH-in-mean model
• The autocorrelation structure for the GARCH-M process
• The profile likelihood estimation for single-index ARCH(\(p\))-M model

Cited in

(7)

• Empirical likelihood estimation for ARCH-M models
• A functional coefficient GARCH-M model
• Empirical likelihood parametric estimations for GARCH-M models
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Empirical likelihood inference for functional coefficient ARCH-M model
• On an asymmetric functional-coefficient ARCH-M model
• scientific article; zbMATH DE number 5630239 (Why is no real title available?)

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