Empirical Likelihood Inference for Random Coefficient INAR(P) Process

9 Pages Posted: 12 Apr 2011

See all articles by Haixiang Zhang

Haixiang Zhang

affiliation not provided to SSRN

Dehui Wang

Jilin University of China; Northeast Normal University

Fukang Zhu

Jilin University-Lambton College (JULC)

Date Written: May 2011

Abstract

In this article, we study the empirical likelihood (EL) method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log EL ratio statistic is established and the confidence regions for the parameter of interest are derived. Also a simulation study is conducted for the evaluation of the developed approach.

Keywords: Models of count data, random coefficient, INAR process, empirical likelihood, asymptotic distribution

Suggested Citation

Zhang, Haixiang and Wang, Dehui and Zhu, Fukang, Empirical Likelihood Inference for Random Coefficient INAR(P) Process (May 2011). Journal of Time Series Analysis, Vol. 32, Issue 3, pp. 195-203, 2011, Available at SSRN: https://ssrn.com/abstract=1807594 or http://dx.doi.org/10.1111/j.1467-9892.2010.00691.x

Haixiang Zhang (Contact Author)

affiliation not provided to SSRN

No Address Available

Dehui Wang

Jilin University of China ( email )

Changchun, Jilin Province 130012
China

Northeast Normal University

Changchun
China

Fukang Zhu

Jilin University-Lambton College (JULC) ( email )

Changchun, Jilin Province 130012
China

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