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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
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