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Table 2 The simulation results for sequence II \((\epsilon , \sigma _{1}, \sigma _{2})=(0.9, 1,3)\)

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) 0.9770 (0.4330) 0.9510 (0.8740) 0.9490 (0.8620)
(0.1,0.1,3,0.3,0.3) 0.9820 (0.4590) 0.9370 (0.8530) 0.9410 (0.8500)
(0.1,0.1,5,0.5,0.5) 0.9740 (0.4300) 0.9540 (0.8560) 0.9580 (0.8740)
(0.1,0.1,7,0.7,0.7) 0.9760 (0.4340) 0.9370 (0.8660) 0.9480 (0.8540)
(−0.1,−0.1,1,0.1,0.1) 0.9750 (0.4170) 0.9500 (0.8700) 0.9380 (0.8570)
(−0.1,−0.1,3,0.3,0.3) 0.9820 (0.4320) 0.9570 (0.8610) 0.9620 (0.8700)
(−0.1,−0.1,5,0.5,0.5) 0.9800 (0.4230) 0.9410 (0.8730) 0.9470 (0.8790)
(−0.1,−0.1,7,0.7,0.7) 0.9730 (0.4380) 0.9580 (0.8660) 0.9450 (0.8430)
(0.2,0.2,1,0.1,0.1) 0.9820 (0.458) 0.9540 (0.8690) 0.9340 (0.8500)
(0.2,0.2,3,0.3,0.3) 0.9680 (0.4320) 0.9430 (0.8400) 0.9520 (0.8600)
(0.2,0.2,5,0.5,0.5) 0.9670 (0.4240) 0.9480 (0.8490) 0.9390 (0.8610)
(−0.2,−0.2,1,0.1,0.1) 0.9730 (0.4510) 0.9440 (0.8520) 0.9410 (0.8660)
(−0.2,−0.2,3,0.3,0.3) 0.9710 (0.4460) 0.9470 (0.8680) 0.9390 (0.8590)
(−0.2,−0.2,5,0.5,0.5) 0.9820 (0.4510) 0.9450 (0.8700) 0.9480 (0.8490)
(0.3,0.3,1,0.1,0.1) 0.9790 (0.4490) 0.9530 (0.8440) 0.9670 (0.8690)
(0.3,0.3,3,0.3,0.3) 0.9810 (0.4440) 0.9540 (0.8440) 0.9470 (0.8490)
(−0.3,−0.3,1,0.1,0.1) 0.9790 (0.4450) 0.9410 (0.8630) 0.9610 (0.8570)
(−0.3,−0.3,3,0.3,0.3) 0.9790 (0.4320) 0.9550 (0.8560) 0.9400 (0.8350)
(0.4,0.4,1,0.1,0.1) 0.9780 (0.4420) 0.9320 (0.8310) 0.9390 (0.8320)
(0.4,0.4,1,0.3,0.3) 0.9790 (0.4090) 0.9460 (0.8370) 0.9440 (0.8610)
(−0.4,−0.4,1,0.1,0.1) 0.9820 (0.4420) 0.9500 (0.8340) 0.9400 (0.8510)
(−0.4,−0.4,1,0.3,0.3) 0.9820 (0.4170) 0.9540 (0.8490) 0.9480 (0.8260)
(0.5,0.5,1,0.1,0.1) 0.9840 (0.4220) 0.9480 (0.8430) 0.9490 (0.8320)
(−0.5,−0.5,1,0.1,0.1) 0.9760 (0.4470) 0.9520 (0.8450) 0.9490 (0.8360)
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