Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/31025 
Year of Publication: 
2006
Series/Report no.: 
Discussion Paper No. 469
Publisher: 
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen, München
Abstract: 
For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval for the parameter in the AR part is proposed. All of these results do not require more than a finite second moment of the innovations. This includes the case of t-innovations for any degree of freedom larger than 2, which serves as a prominent model for real data.
Subjects: 
ARCH model
Empirical likelihood
Stationary
Weighted least squares
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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