Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
نویسندگان
چکیده
Abstract This paper considers the parameter estimation problem of a first-order threshold autoregressive conditional heteroscedasticity model by using empirical likelihood method. We obtain ratio statistic based on estimating equation least squares and construct confidence region for parameters. Simulation studies indicate that method outperforms normal approximation-based in terms coverage probability.
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ژورنال
عنوان ژورنال: Journal of Inequalities and Applications
سال: 2021
ISSN: ['1025-5834', '1029-242X']
DOI: https://doi.org/10.1186/s13660-021-02581-3