Empirical likelihood for AR-ARCH models based on LAD estimation

DOI10.1007/S10255-010-0051-9zbMATH OpenNoneOpenAlexW2068773074MaRDI QIDQ511188FDOQ511188

Jinyu Li, Shuyuan He, Wei Liang

Publication date: 14 February 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0051-9

zbMATH Keywords

empirical likelihoodconfidence regionLAD estimationAR-ARCH model

Mathematics Subject Classification ID

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

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional
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• Empirical likelihood confidence regions in time series models
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Least absolute deviations estimation for ARCH and GARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• M-estimation for autoregression with infinite variance
• Least absolute deviation estimation for regression with ARMA errors
• Weighted least absolute deviations estimation for ARMA models with infinite variance

Cited In (8)

• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• A review of empirical likelihood methods for time series
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Empirical likelihood for least absolute relative error regression
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors
• Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
• Empirical likelihood estimation for ARCH-M models
• TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL

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