Empirical Likelihood Inference for MA（q） Model

作     者：CHEN Yan Hong SONG Li Xin CHEN Yan Hong;SONG Li Xin

作者机构：School of Mathematical Sciences Dalian University of Technology Liaoning 116024 China 

出 版 物：《Journal of Mathematical Research and Exposition》 (数学研究与评论（英文版）)

年 卷 期：2009年第29卷第5期

页      面：923-930页

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）] 070102[理学-计算数学] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金："Mathematics+X" of DLUT (No.842306) 

主　　题：MA(q) empirical likelihood moment restriction asymptotic properties. 

摘      要：In this article we study the empirical likelihood inference for MA(q) *** propose the moment restrictions,by which we get the empirical likelihood estimator of the model parameter,and we also propose an empirical log-likelihood ratio based on this *** result shows that the EL estimator is asymptotically normal,and the empirical log-likelihood ratio is proved to be asymptotical standard chi-square distribution.