Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4628728 | Applied Mathematics and Computation | 2013 | 10 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhi-Wen Zhao, De-Hui Wang, Cui-Xin Peng,