Unified Interval Estimation for Random Coefficient Autoregressive Models
نویسندگان
چکیده
The consistency of the quasi maximum likelihood estimator for random coefficient autoregressive models requires that the coefficient be a non-degenerate random variable. In this paper we propose empirical likelihood methods based on weighted score equations to construct a confidence interval for the coefficient. We do not need to distinguish whether the coefficient is random or deterministic and whether the process is stationary or non-stationary, and we present two classes of equations depending on whether a constant trend is included in the model. A simulation study confirms the good finite sample behavior of our resulting empirical likelihood based confidence intervals. We also apply our methods to study U.S. macroeconomic data. Key-words: Empirical likelihood method, random coefficient autoregression, weighted estimation. ∗Department of Economics, University of North Carolina, Chapel Hill, NC, 27599, USA. Email address: [email protected] †School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332-0160, USA. Email address: [email protected]
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