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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 469
- Thema
-
ARCH model
Empirical likelihood
Stationary
Weighted least squares
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klüppelberg, Claudia
Peng, Liang
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (wo)
-
München
- (wann)
-
2006
- DOI
-
doi:10.5282/ubm/epub.1837
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1837-3
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klüppelberg, Claudia
- Peng, Liang
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Entstanden
- 2006
Ähnliche Objekte (12)
Empirical likelihood-based inference in linear errors-in-covariables models with validation data
Empirical Likelihood-based Inference in Linear Errors-in-Covariables Models with Validation Data
Empirical likelihood block bootstrapping
Empirical Likelihood Block Bootstrapping
Empirical Bayes and likelihood inference
The spectral maximum likelihood estimation of econometric models with stationary errors
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Empirical-likelihood-Schätzung der Fehlerverteilung im nichtparametrischen Regressionsmodell
Empirical-Likelihood-Schätzung der Fehlerverteilung im nichtparametrischen Regressionsmodell
Empirical likelihood-based inference in linear errors-in-covariables models with validation data
Empirical Likelihood-based Inference in Linear Errors-in-Covariables Models with Validation Data
Empirical likelihood block bootstrapping
Empirical Likelihood Block Bootstrapping
Empirical Bayes and likelihood inference
The spectral maximum likelihood estimation of econometric models with stationary errors
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Empirical-likelihood-Schätzung der Fehlerverteilung im nichtparametrischen Regressionsmodell
Empirical-Likelihood-Schätzung der Fehlerverteilung im nichtparametrischen Regressionsmodell
Empirical likelihood-based inference in linear errors-in-covariables models with validation data
Empirical Likelihood-based Inference in Linear Errors-in-Covariables Models with Validation Data
Empirical likelihood block bootstrapping
Empirical Likelihood Block Bootstrapping
Empirical Bayes and likelihood inference
The spectral maximum likelihood estimation of econometric models with stationary errors
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Empirical-likelihood-Schätzung der Fehlerverteilung im nichtparametrischen Regressionsmodell