Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models

Jinyu Li, Wei Liang, Shuyuan He and Xianbin Wu

Statistics & Probability Letters, 2010, vol. 80, issue 17-18, 1420-1430

Abstract: This paper proposes an empirical likelihood method to estimate the parameters of infinite variance autoregressive (IVAR) models and to construct confidence regions for the parameters. Simulation studies suggest that in small sample case, the empirical likelihood confidence regions may be more accurate than the confidence regions constructed by the normal approximation based on the self-weighted LAD estimator proposed by Ling (2005).

Keywords: LAD; estimation; Infinite; variance; Empirical; likelihood; Kernel; function (search for similar items in EconPapers)
Date: 2010
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