Empirical likelihood inference in autoregressive models with time-varying variances
This paper develops the empirical likelihood ( $ \mathrm {EL} $ ) inference procedure for parameters in autoregressive models with the error variances scaled by an unknown nonparametric time-varying function. Compared with existing methods based on non-parametric and semi-parametric estimation, the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-05-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2021.1913977 |
| Summary: | This paper develops the empirical likelihood ( $ \mathrm {EL} $ ) inference procedure for parameters in autoregressive models with the error variances scaled by an unknown nonparametric time-varying function. Compared with existing methods based on non-parametric and semi-parametric estimation, the proposed test statistic avoids estimating the variance function, while maintaining the asymptotic chi-square distribution under the null. Simulation studies demonstrate that the proposed $ \mathrm {EL} $ procedure (a) is more stable, i.e., depending less on the change points in the error variances, and (b) gets closer to the desired confidence level, than the traditional test statistic. |
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| ISSN: | 2475-4269 2475-4277 |