Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models

This paper proposes an empirical likelihood method to estimate the parameters of infinite variance autoregressive (IVAR) models and to construct confidence regions for the parameters. Simulation studies suggest that in small sample case, the empirical likelihood confidence regions may be more accurate than the confidence regions constructed by the normal approximation based on the self-weighted LAD estimator proposed by Ling (2005).

MoreLess

Year of publication:	2010
Authors:	Li, Jinyu ; Liang, Wei ; He, Shuyuan ; Wu, Xianbin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 17-18, p. 1420-1430
Publisher:	Elsevier
Keywords:	LAD estimation Infinite variance Empirical likelihood Kernel function

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868942