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

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