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<p>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.</p>

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

  • 期刊论文

  • 发表日期：

    2025年2月14日

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  • Peixin Zhao,
  • Qian Jiang

摘要

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.