Empirical Likelihood for Threshold Autoregressive Models

被引：4

作者：

Chen, Yanhong ^{[1
]}

Song, Lixin ^{[1
]}

Feng, Jinghai ^{[1
]}

机构：

[1] Dalian Univ Technol, Sch Math Sci, Dalian 116024, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2012年 / 41卷 / 06期

关键词：

Asymptotic efficiency; Empirical likelihood; Estimating equations; Threshold autoregressive models;

D O I：

10.1080/03610926.2010.535627

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article develops empirical likelihood for threshold autoregressive models. We propose general estimating equations based on moment constraint. Under some suitable conditions, we show the empirical likelihood estimators for parameter are asymptotically normally distributed, and the proposed log empirical likelihood ratio statistic asymptotically follows a standard chi-squared distribution.

引用

页码：970 / 982

页数：13

共 50 条

[21] Empirical likelihood-based subset selection for partially linear autoregressive models
Yu Han
Ying-hua Jin
Min Chen
Acta Mathematicae Applicatae Sinica, English Series, 2013, 29 : 793 - 808
[22] Empirical Likelihood-Based Subset Selection for Partially Linear Autoregressive Models
Han, Yu
Jin, Ying-hua
Chen, Min
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 29 (04): : 793 - 808
[23] Empirical Likelihood for an Autoregressive Model with Explanatory Variables
Zhao, Zhi-Wen
Wang, De-Hui
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2011, 40 (03) : 559 - 570
[24] Composite quantile regression based robust empirical likelihood for partially linear spatial autoregressive models
Zhao, Peixin
Cheng, Suli
Zhou, Xiaoshuang
STATISTICS AND ITS INTERFACE, 2024, 17 (04) : 749 - 761
[25] Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data
Yu, Shi-Hang
Wang, De-Hui
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2014, 43 (08) : 1800 - 1823
[26] Nonparametric likelihood inference for general autoregressive models
Bravo, Francesco
STATISTICAL METHODS AND APPLICATIONS, 2010, 19 (01) : 79 - 106
[27] Subsampling inference in threshold autoregressive models
Gonzalo, J
Wolf, M
JOURNAL OF ECONOMETRICS, 2005, 127 (02) : 201 - 224
[28] Nonparametric likelihood inference for general autoregressive models
Francesco Bravo
Statistical Methods and Applications, 2010, 19 : 79 - 106
[29] Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series
Baragona, Roberto
Battaglia, Francesco
Cucina, Domenico
JOURNAL OF TIME SERIES ANALYSIS, 2016, 37 (03) : 315 - 336
[30] A Blockwise Empirical Likelihood Test for Gaussianity in Stationary Autoregressive Processes
Marange, Chioneso S.
Qin, Yongsong
Chiruka, Raymond T.
Batidzirai, Jesca M.
MATHEMATICS, 2023, 11 (04)

← 1 2 3 4 5 →