Table 1 The simulation results for sequence I
From: Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
\((\theta _{1}, \theta _{2}, \alpha _{0}, \alpha _{1}, \alpha _{2})\) | n = 100 | n = 300 | n = 500 |
|---|---|---|---|
(0.1,0.1,1,0.1,0.1) | (0.9520,0.3140) | (0.9410,0.4710) | (0.9330,0.6950) |
(0.1,0.1,3,0.3,0.3) | (0.9570,0.3170) | (0.9440,0.4890) | (0.9360,0.6870) |
(0.1,0.1,5,0.5,0.5) | (0.9520,0.3170) | (0.9450,0.4890) | (0.9330,0.6880) |
(0.1,0.1,7,0.7,0.7) | (0.9530,0.3000) | (0.9350,0.4850) | (0.9260,0.7110) |
(−0.1,−0.1,1,0.1,0.1) | (0.9630,0.3210) | (0.9330,0.4870) | (0.9350,0.7020) |
(−0.1,−0.1,3,0.3,0.3) | (0.9360,0.3110) | (0.9510,0.5020) | (0.9290,0.6860) |
(−0.1,−0.1,5,0.5,0.5) | (0.9420,0.3330) | (0.9370,0.5100) | (0.9510,0.7310) |
(−0.1,−0.1,7,0.7,0.7) | (0.9420,0.3200) | (0.9480,0.5250) | (0.9220,0.6890) |
(0.2,0.2,1,0.1,0.1) | (0.9580,0.3290) | (0.9430,0.5140) | (0.9330,0.7120) |
(0.2,0.2,3,0.3,0.3) | (0.9480,0.3490) | (0.9310,0.4920) | (0.9380,0.7110) |
(0.2,0.2,5,0.5,0.5) | (0.9540,0.3540) | (0.9420,0.4890) | (0.9290,0.6900) |
(−0.2,−0.2,1,0.1,0.1) | (0.9530,0.3290) | (0.9570,0.5080) | (0.9220,0.6860) |
(−0.2,−0.2,3,0.3,0.3) | (0.9590,0.3640) | (0.9440,0.5210) | (0.9350,0.7020) |
(−0.2,−0.2,5,0.5,0.5) | (0.9550,0.3400) | (0.9350,0.5000) | (0.9280,0.7130) |
(0.3,0.3,1,0.1,0.1) | (0.9400,0.3420) | (0.9440,0.5250) | (0.9290,0.6910) |
(0.3,0.3,3,0.3,0.3) | (0.9530,0.3470) | (0.9310,0.5170) | (0.9390,0.7440) |
(−0.3,−0.3,1,0.1,0.1) | (0.9410,0.3610) | (0.9380,0.5090) | (0.9360,0.7050) |
(−0.3,−0.3,3,0.3,0.3) | (0.9460,0.3840) | (0.9330,0.5300) | (0.9320,0.7010) |
(0.4,0.4,1,0.1,0.1) | (0.9740,0.3100) | (0.9530,0.4120) | (0.9430,0.7210) |
(0.4,0.4,1,0.3,0.3) | (0.9580,0.3700) | (0.9440,0.5260) | (0.9370,0.7090) |
(−0.4,−0.4,1,0.1,0.1) | (0.9540,0.3850) | (0.9290,0.7360) | (0.9120,0.6950) |
(−0.4,−0.4,1,0.3,0.3) | (0.9530,0.3870) | (0.9320,0.7260) | (0.9310,0.7170) |
(0.5,0.5,1,0.1,0.1) | (0.9580,0.4140) | (0.9380,0.7350) | (0.9330,0.7270) |
(−0.5,−0.5,1,0.1,0.1) | (0.9510,0.3950) | (0.9420,0.7280) | (0.9290,0.7350) |