Empirical likelihood inference for error density estimators in first-order autoregression models |
| |
Authors: | Hui Zhou |
| |
Institution: | College of Econometrics, Hangzhou Dianzi University, Hangzhou, Zhejiang Province, China |
| |
Abstract: | In this paper we apply empirical likelihood method to the error density estimators in first-order autoregressive models under some mild conditions. The log-likelihood ratio statistic is shown to be asymptotically chi-squared distributed at a fixed point. In simulation, we show that the empirical likelihood produces confidence intervals having theoretical coverage accuracy which is better than normal approximation. |
| |
Keywords: | AR(1) model Empirical likelihood Kernel density estimator Residuals |
|
|