Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data

Shi-hang Yu and De-hui Wang

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 8, 1800-1823

Abstract: In this article, we consider the empirical likelihood for the autoregressive error-in-explanatory variable models. With the help of validation, we first develop an empirical likelihood ratio test statistic for the parameters of interest, and prove that its asymptotic distribution is that of a weighted sum of independent standard χ21 random variables with unknown weights. Also, we propose an adjusted empirical likelihood and prove that its asymptotic distribution is a standard χ2. Furthermore, an empirical likelihood-based confidence region is given. Simulation results indicate that the proposed method works well for practical situations.

Date: 2014
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DOI: 10.1080/03610926.2012.679763

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