Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model

Zhi-Wen Zhao, De-Hui Wang, Cui-Xin Peng and Mei-Li Zhang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 12, 2586-2599

Abstract: In this article, we consider the application of the empirical likelihood method to the generalized random coefficient autoregressive (GRCA) model. When the order of the model is 1, we derive an empirical likelihood ratio test statistic to test the stationary-ergodicity. Some simulation studies are also conducted to investigate the finite sample performances of the proposed test.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:44:y:2015:i:12:p:2586-2599

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DOI: 10.1080/03610926.2013.786786

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