|
|||||
|
|
Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model |
|
| Authors: | Zhi-Wen Zhao De-Hui Wang Cui-Xin Peng Mei-Li Zhang |
| Institution: | 1. College of Mathematics, Jilin Normal University, Siping, China zhaozhiwen@126.com;3. College of Mathematics, Jilin University, Changchun, China;4. Public Foreign Languages Department, Jilin Normal University, Siping, China;5. Department of Basis, Dalian Naval Academy, Dalian, China |
| Abstract: | In this article, we consider the application of the empirical likelihood method to the generalized random coefficient autoregressive (GRCA) model. When the order of the model is 1, we derive an empirical likelihood ratio test statistic to test the stationary-ergodicity. Some simulation studies are also conducted to investigate the finite sample performances of the proposed test. |
| Keywords: | Empirical likelihood Least squares estimation Asymptotic normality Generalized random coefficient autoregressive model Confidence region |