Empirical Likelihood Inference for MA$(q)$ Model
Received:October 18, 2007  Revised:November 09, 2008
Key Word: MA$(q)$   empirical likelihood   moment restriction   asymptotic properties.  
Fund ProjectL:``Mathematics X'' of DLUT (No.842306).
Author NameAffiliation
CHEN Yan Hong School of Mathematical Sciences, Dalian University of Technology, Liaoning 116024, China 
SONG Li Xin School of Mathematical Sciences, Dalian University of Technology, Liaoning 116024, China 
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Abstract:
      In this article we study the empirical likelihood inference for MA$(q)$ model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parameter, and we also propose an empirical log-likelihood ratio based on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotical standard chi-square distribution.
Citation:
DOI:10.3770/j.issn:1000-341X.2009.05.020
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