Abstract
AbstractThis paper considers the parameter estimation problem of a first-order threshold autoregressive conditional heteroscedasticity model by using the empirical likelihood method. We obtain the empirical likelihood ratio statistic based on the estimating equation of the least squares estimation and construct the confidence region for the model parameters. Simulation studies indicate that the empirical likelihood method outperforms the normal approximation-based method in terms of coverage probability.
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Discrete Mathematics and Combinatorics,Analysis