Empirical Likelihood for AR-ARCH Models Based on LAD Estimation

作     者：Jin-yu Li Wei Liang Shu-yuan He 

作者机构：School of Sciences China University of Mining and Technology Xuzhou 221116 China School of Mathematical Sciences Peking University Beijing 100871 China School of Mathematical Sciences Capital Normal University Beijing 100048 China 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2012年第28卷第2期

页      面：371-382页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Supported by the Fundamental Research Funds for the Central Universities (No. 2010LKSX04) Supported by the National Natural Science Foundation of China (No. 10731010) 

主　　题：AR-ARCH model confidence region empirical likelihood LAD estimation 

摘      要：By employing the empirical likelihood method, confidence regions for the stationary AR（p）-ARCH（q） models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation.