Orthogonal Weighted Empirical Likelihood Test for ARCH-M Models with Double Functional Coefficients

Peixin Zhao () and Qian Jiang
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Peixin Zhao: Chongqing Technology and Business University
Qian Jiang: Chongqing Technology and Business University

Methodology and Computing in Applied Probability, 2025, vol. 27, issue 1, 1-12

Abstract: Abstract The problem of testing a class of double-functional coefficient ARCH-M models is considered in this paper. An empirical likelihood test based on orthogonal weighting is proposed by constructing an auxiliary random vector with orthogonal weighting. Under some regular conditions, it is theoretically proved that the constructed empirical log-likelihood ratio test statistic asymptotically obeys the chi-square distribution, and the rejection domain with a certain confidence level is obtained, and finally the test efficacy is discussed by numerical simulation.

Keywords: Functional coefficient model; ARCH-M model; Hypothesis testing; Empirical likelihood; 62G05; 62G20; 62G30 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11009-025-10143-z

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