Journal
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
Volume 44, Issue 12, Pages 2586-2599Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610926.2013.786786
Keywords
Empirical likelihood; Least squares estimation; Asymptotic normality; Generalized random coefficient autoregressive model; Confidence region
Categories
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]
- 985 project of Jilin University
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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.
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