Hill, Jonathan; Peng, Liang - In: Journal of Time Series Analysis 35 (2014) 3, pp. 282-297
type="main" xml:id="jtsa12064-abs-0001"The consistency of the quasi-maximum likelihood estimator for random coefficient autoregressive models requires that the coefficient be a non-degenerate random variable. In this article, we propose empirical likelihood methods based on weighted-score...