Arbeitspapier

Empirical likelihood methods for an AR(1) process with ARCH(1) errors

For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval for the parameter in the AR part is proposed. All of these results do not require more than a finite second moment of the innovations. This includes the case of t-innovations for any degree of freedom larger than 2, which serves as a prominent model for real data.

Language: Englisch

Bibliographic citation: Series: Discussion Paper ; No. 469

Subject: ARCH model
Empirical likelihood
Stationary
Weighted least squares

Event: Geistige Schöpfung

(who): Klüppelberg, Claudia
Peng, Liang

Event: Veröffentlichung

(who): Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen

(where): München

(when): 2006

DOI: doi:10.5282/ubm/epub.1837

Handle: http://hdl.handle.net/10419/31025

URN: urn:nbn:de:bvb:19-epub-1837-3

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Klüppelberg, Claudia
Peng, Liang
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen

Time of origin

2006

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Empirical likelihood methods for an AR(1) process with ARCH(1) errors

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