Journal
APPLIED MATHEMATICS AND COMPUTATION
Volume 219, Issue 20, Pages 10283-10292Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.amc.2013.03.135
Keywords
Generalized random coefficient autoregressive model; Testing the coefficient constancy; Conditional least-squares estimator; Empirical likelihood; Estimating equation
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Funding
- National Natural Science Foundation of China [10971081, 11001105, 11071126, 10926156, 11071269, J0730101]
- Specialized Research Fund for the Doctoral Program of Higher Education [20070183023, 20110061110003]
- Program for New Century Excellent Talents in University [NCET-08-237]
- Scientific Research Fund of Jilin University [201100011, 200810024, 200903278]
- General Humanities and Social Science Research Projects
- Ministry of Education [11YJAZH125]
- Science and Technology Development Program of Jilin Province [201201082]
- Jilin University
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In this paper, we study the problem of testing the constancy of the coefficients in the stationary one-order generalized random coefficient autoregressive model (GRCA). We construct a new nonparametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use. (C) 2013 Elsevier Inc. All rights reserved.
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