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Orthogonal Weighted Empirical Likelihood Test for ARCH-M Models with Double Functional Coefficients

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  • Peixin Zhao

    (Chongqing Technology and Business University
    Chongqing Technology and Business University)

  • Qian Jiang

    (Chongqing Technology and Business University)

Abstract

The problem of testing a class of double-functional coefficient ARCH-M models is considered in this paper. An empirical likelihood test based on orthogonal weighting is proposed by constructing an auxiliary random vector with orthogonal weighting. Under some regular conditions, it is theoretically proved that the constructed empirical log-likelihood ratio test statistic asymptotically obeys the chi-square distribution, and the rejection domain with a certain confidence level is obtained, and finally the test efficacy is discussed by numerical simulation.

Suggested Citation

  • Peixin Zhao & Qian Jiang, 2025. "Orthogonal Weighted Empirical Likelihood Test for ARCH-M Models with Double Functional Coefficients," Methodology and Computing in Applied Probability, Springer, vol. 27(1), pages 1-12, March.
    • Handle: RePEc:spr:metcap:v:27:y:2025:i:1:d:10.1007_s11009-025-10143-z
    DOI: 10.1007/s11009-025-10143-z
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    References listed on IDEAS

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    1. Xue, Liugen & Zhu, Lixing, 2007. "Empirical Likelihood for a Varying Coefficient Model With Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 642-654, June.
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    5. You, Jinhong & Zhou, Yong, 2006. "Empirical likelihood for semiparametric varying-coefficient partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 76(4), pages 412-422, February.
    6. Linton, Oliver & Perron, Benoit, 2003. "The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 354-367, July.
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