Journal of Guangxi Normal University(Natural Science Edition) ›› 2023, Vol. 41 ›› Issue (3): 144-154.doi: 10.16088/j.issn.1001-6600.2022070601

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Empirical Likelihood Inference for Linear Models with MA Errors

MENG Haizhen, ZHANG Zhengjia*, QIN Yongsong   

  1. School of Mathematics and Statistics, Guangxi Normal University, Guilin Guangxi 541006, China
  • Received:2022-07-06 Revised:2022-08-22 Online:2023-05-25 Published:2023-06-01

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Abstract: In this paper, the quasi maximum likelihood estimation method is used to obtain the estimation equation of the linear model with MA errors. In order to use the empirical likelihood method, the quadratic form in the estimation equation is transformed into a linear form of a martingale difference array, and then the empirical likelihood ratio statistics of the model parameters are constructed. Under certain assumptions, it is proved that the statistics asymptotically obey the chi-square distribution. Finally, the simulation resucts show that the empirical likehood method is closer to the confidence level than the parametric likehood method in terms of the coverage of confidence region.

Key words: linear model, MA model, martingale difference array, empirical likelihood

CLC Number:  O212.7
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