Empirical Likelihood for Threshold Autoregressive Models |
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| Authors: | Yanhong Chen Lixin Song |
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| Institution: | School of Mathematical Sciences , Dalian University of Technology , Dalian , China |
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| Abstract: | 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. |
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| Keywords: | Asymptotic efficiency Empirical likelihood Estimating equations Threshold autoregressive models |
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