Hypothesis Testing in Generalized Linear Models with Functional Coefficient Autoregressive Processes

Lei Song, Hongchang Hu and Xiaosheng Cheng

Mathematical Problems in Engineering, 2012, vol. 2012, 1-19

Abstract:

The paper studies the hypothesis testing in generalized linear models with functional coefficient autoregressive (FCA) processes. The quasi-maximum likelihood (QML) estimators are given, which extend those estimators of Hu (2010) and Maller (2003). Asymptotic chi-squares distributions of pseudo likelihood ratio (LR) statistics are investigated.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:862398

DOI: 10.1155/2012/862398

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