Empirical Likelihood for an Autoregressive Model with Explanatory Variables |
| |
Authors: | Zhi-Wen Zhao |
| |
Institution: | 1. College of Mathematics , Jilin University , Changchun, P.R. China;2. College of Mathematics , Jilin Normal University , Siping, P.R. China |
| |
Abstract: | In this article, we use the empirical likelihood method to construct the confidence region for parameters in autoregressive model with martingale difference error. It is shown that the empirical log-likelihood ratio at the true parameter converges to the standard chi-square distribution. The simulation results suggest that the empirical likelihood method outperforms the normal approximation based method in terms of coverage probability. |
| |
Keywords: | Asymptotic normality Autoregressive model Confidence region Empirical likelihood Least squares estimation |
|
|