Coefficient constancy test in generalized random coefficient autoregressive model
Coefficient constancy test in generalized random coefficient autoregressive model
复制标题
广义随机系数自回归模型中的系数稳定性检验
DOI：
10.1016/j.amc.2013.03.135
复制
发表时间：
2013-06-15
影响因子：
4
通讯作者：
Peng, Cui-Xin
中科院分区：
文献类型：
--
作者：
Zhao, Zhi-Wen;Wang, De-Hui;Peng, Cui-Xin
本文研究了平稳一阶广义随机系数自回归模型(GRCA)中系数的一致性检验问题。基于经验似然方法构造了一种新的非参数检验统计量。推导了该统计量的渐近分布，并通过蒙特卡罗模拟检验了它的有限样本性。仿真结果表明，该方法具有较好的实用价值。(C)2013 Elsevier Inc.保留所有权利。
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.