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

Author

Listed:
  • 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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