The Periodic Restricted EXPAR(1) Model
In this chapter, we discuss the nonlinear periodic restricted EXPAR(1) model. The parameters are estimated by the quasi maximum likelihood (QML) method and we give their asymptotic properties which lead to the construction of confidence intervals of the parameters. Then we consider the problem of te...
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| Main Author: | |
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| Format: | Book Chapter |
| Language: | English |
| Published: |
IntechOpen
2020
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| Subjects: | |
| Online Access: | https://www.intechopen.com/chapters/74188 |
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| Summary: | In this chapter, we discuss the nonlinear periodic restricted EXPAR(1) model. The parameters are estimated by the quasi maximum likelihood (QML) method and we give their asymptotic properties which lead to the construction of confidence intervals of the parameters. Then we consider the problem of testing the nullity of coefficients by using the standard Likelihood Ratio (LR) test, simulation studies are given to assess the performance of this QML and LR test. |
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| ISBN: | 978-1-83968-168-4 |
| DOI: | 10.5772/intechopen.94078 |