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) | 0.9680 (0.3430) | 0.9390 (0.7960) | 0.9400 (0.8040) |
(0.1,0.1,3,0.3,0.3) | 0.9780 (0.3620) | 0.9250 (0.7850) | 0.9330 (0.7900) |
(0.1,0.1,5,0.5,0.5) | 0.9730 (0.3750) | 0.9320 (0.8040) | 0.9510 (0.7970) |
(0.1,0.1,7,0.7,0.7) | 0.9680 (0.3750) | 0.9380 (0.7980) | 0.9410 (0.7850) |
(−0.1,−0.1,1,0.1,0.1) | 0.9690 (0.3640) | 0.9380 (0.7750) | 0.9340 (0.8000) |
(−0.1,−0.1,3,0.3,0.3) | 0.9800 (0.3580) | 0.9310 (0.7910) | 0.9280 (0.7820) |
(−0.1,−0.1,5,0.5,0.5) | 0.9690 (0.3480) | 0.9240 (0.8050) | 0.9350 (0.7860) |
(−0.1,−0.1,7,0.7,0.7) | 0.9740 (0.3400) | 0.9420 (0.7770) | 0.9370 (0.7880) |
(0.2,0.2,1,0.1,0.1) | 0.9700 (0.3940) | 0.9310 (0.7890) | 0.9400 (0.7970) |
(0.2,0.2,3,0.3,0.3) | 0.9740 (0.3700) | 0.9360 (0.7960) | 0.9330 (0.7800) |
(0.2,0.2,5,0.5,0.5) | 0.9710 (0.3890) | 0.9370 (0.7820) | 0.9460 (0.7870) |
(−0.2,−0.2,1,0.1,0.1) | 0.9700 (0.3890) | 0.9370 (0.7820) | 0.9230 (0.7760) |
(−0.2,−0.2,3,0.3,0.3) | 0.9630 (0.3940) | 0.9420 (0.8110) | 0.9380 (0.7840) |
(−0.2,−0.2,5,0.5,0.5) | 0.9650 (0.3780) | 0.9270 (0.7810) | 0.9280 (0.7740) |
(0.3,0.3,1,0.1,0.1) | 0.9660 (0.4020) | 0.9190 (0.7720) | 0.9470 (0.8060) |
(0.3,0.3,3,0.3,0.3) | 0.9680 (0.3680) | 0.9330 (0.7940) | 0.9450 (0.8080) |
(−0.3,−0.3,1,0.1,0.1) | 0.9710 (0.4050) | 0.9270 (0.7720) | 0.9350 (0.7900) |
(−0.3,−0.3,3,0.3,0.3) | 0.9820 (0.3950) | 0.9440 (0.7900) | 0.9350 (0.7850) |
(0.4,0.4,1,0.1,0.1) | 0.9670 (0.3610) | 0.9420 (0.7940) | 0.9420 (0.7750) |
(0.4,0.4,1,0.3,0.3) | 0.9690 (0.3740) | 0.9360 (0.7960) | 0.9470 (0.8010) |
(−0.4,−0.4,1,0.1,0.1) | 0.9740 (0.4120) | 0.9250 (0.7790) | 0.9330 (0.7930) |
(−0.4,−0.4,1,0.3,0.3) | 0.9760 (0.3970) | 0.9440 (0.8030) | 0.9260 (0.7890) |
(0.5,0.5,1,0.1,0.1) | 0.9800 (0.4140) | 0.9310 (0.8010) | 0.9320 (0.7960) |
(−0.5,−0.5,1,0.1,0.1) | 0.9820 (0.4290) | 0.9370 (0.7910) | 0.9390 (0.7930) |