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Empirical likelihood for AR-ARCH models based on LAD estimation

Empirical likelihood for AR-ARCH models based on LAD estimation By employing the empirical likelihood method, confidence regions for the stationary AR(p)-ARCH(q) models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Empirical likelihood for AR-ARCH models based on LAD estimation

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Publisher
Springer Journals
Copyright
Copyright © 2012 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-010-0051-9
Publisher site
See Article on Publisher Site

Abstract

By employing the empirical likelihood method, confidence regions for the stationary AR(p)-ARCH(q) models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Dec 22, 2010

References