Empirical Likelihood for Linear Models Under Linear Process Errors |
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| Authors: | Yongsong Qin Qingzhu Lei |
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| Institution: | 1. School of Mathematical Sciences Guangxi Normal University, Guangxi, Chinaysqin@gxnu.edu.cn;3. School of Mathematical Sciences Guangxi Normal University, Guangxi, China |
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| Abstract: | In this article, we study the construction of confidence intervals for regression parameters in a linear model under linear process errors by using the blockwise technique. It is shown that the blockwise empirical likelihood (EL) ratio statistic is asymptotically χ2-type distributed. The result is used to obtain EL based confidence regions for regression parameters. The finite-sample performance of the method is evaluated through a simulation study. |
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| Keywords: | Linear process Linear model Empirical likelihood Confidence interval |
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