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- W2036195655 abstract "In this paper, we consider the application of the empirical likelihood method to the generalized random coefficient autoregressive (GRCA) model. The empirical log-likelihood ratio statistics are proposed and the nonparametric versions of the Wilk’s theorem are obtained. Furthermore, when the order of the model is 1, we also derive a test statistic to test the stationary–ergodicity based on the conditional least-squares method. Numerical results from simulation studies suggest that the empirical likelihood method is more accurate than the normal approximation-based method of Hwang and Basawa (1998) [1]. Some simulation studies are also conducted to investigate the finite sample performances of the proposed test." @default.
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- W2036195655 date "2012-10-01" @default.
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- W2036195655 title "Statistical inference for generalized random coefficient autoregressive model" @default.
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- W2036195655 doi "https://doi.org/10.1016/j.mcm.2011.12.002" @default.
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