کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9511204 1701082 2019 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
چکیده انگلیسی
This paper concentrates on the parameter estimating strategy for the generalized random coefficient autoregressive (GRCA) model in the presence of the auxiliary information. We propose a weighted least squares estimate for the model parameters and empirical likelihood (EL) based weights are obtained through using these auxiliary information. The asymptotic distribution of our proposed estimator is normal distribution and the asymptotic variance is reduced compared to the least square (LS) estimator. Therefore, our method yields more efficient estimates. We also carry out some simulation experiments to assess the performance of the suggested estimator and illustrate the usefulness of this method through the analysis of a real time series data sets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 348, 1 March 2019, Pages 146-160
نویسندگان
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