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Statistical Inferences in a Partially Linear Model with autoregressive errors

Acta Mathematicae Applicatae Sinica 2022年第4期38卷 822-842页

作者： Xiao-hui LIU Yu WANG Ya-wen FAN Yu-zi LIU School of Statistics Jiangxi University of Finance and EconomicsNanchang 330013China Key Laboratory of Data Science in Finance and Economics Jiangxi University of Finance and EconomicsNanchang 330013China

In this paper,we consider the statistical inferences in a partially linear model when the model error follows an autoregressive process.A two-step procedure is proposed for estimating the unknown parameters by taking into account of the special structure in *** the asymptotic matrix of the estimator for the parametric part has a complex structure,an empirical likelihood function is also *** derive the asymptotic properties of the related statistics under mild *** simulations,as well as a real data example,are conducted to illustrate the finite sample performance.

关键词： partially linear model autoregressive errors two-step procedure profile empirical likelihood

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A Unit Root Test for an AR(1)Process with AR errors by Using Random Weighted Bootstrap

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Acta Mathematica Sinica,English Series 2023年第9期39卷 1834-1854页

作者： Xiao Hui Liu Ya Wen Fan Yu Zi Liu Shi Hua Luo School of Statistics and Data Science Jiangxi University of Finance and EconomicsNanchang330013P.R.China Key Laboratory of Data Science in Finance and Economics Jiangxi University of Finance and EconomicsNanchang330013P.R.China

A great deal of economic problems are related to detecting the stability of time series data,where the main interest is in the unit root *** this paper,we consider the unit root testing problem with errors being long-memory processes with the LARCH structure.A new test statistic is developed by using the random weighted bootstrap *** turns out that the proposed statistic has a chisquared distribution asymptotically regardless of the process being stationary or nonst at ionary,and with or without an intercept *** simulation results show that the statistic has a desired finite sample performance in terms of both size and power.A real data application is also given relying on the inflation rate data of 17 countries.

关键词： autoregressive model random weighted bootstrap autoregressive errors unit root test

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