Empirical likelihood for LAD estimators in infinite variance ARMA models

Jinyu Li, Wei Liang and Shuyuan He

Statistics & Probability Letters, 2011, vol. 81, issue 2, 212-219

Abstract: In this paper, we use an empirical likelihood method to construct confidence regions for the stationary ARMA(p,q) models with infinite variance. An empirical log-likelihood ratio is derived by the estimating equation of the self-weighted LAD estimator. It is proved that the proposed statistic has an asymptotic standard chi-squared distribution. Simulation studies show that in a small sample case, the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy.

Keywords: ARMA; model; Infinite; variance; Empirical; likelihood; LAD; estimation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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