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Coefficient constancy test in generalized random coefficient autoregressive model
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DOI：10.1016/j.amc.2013.03.135.png)
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Abstract
En 中文
In this paper, we study the problem of testing the constancy of the coefficients in the stationary one-order generalized random coefficient autoregressive model (GRCA). We construct a new nonparametric test statistic based on empirical likelihood method. The asymptotic distribution of the proposed statistic is derived and its finite-sample property is examined through Monte Carlo simulations. The simulation results show that the proposed method is good for practical use. (C) 2013 Elsevier Inc. All rights reserved.
Keywords:
Generalized random coefficient autoregressive model
Testing the coefficient constancy
Conditional least-squares estimator
Empirical likelihood
Estimating equation
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