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) | 0.9560 (0.3180) | 0.9400 (0.7260) | 0.9490 (0.7200) |
(0.1,0.1,3,0.3,0.3) | 0.9500 (0.3130) | 0.9460 (0.7090) | 0.9380 (0.7000) |
(0.1,0.1,5,0.5,0.5) | 0.9510 (0.3440) | 0.9320 (0.7330) | 0.9420 (0.7180) |
(0.1,0.1,7,0.7,0.7) | 0.9570 (0.3270) | 0.9400 (0.7110) | 0.9270 (0.7230) |
(−0.1,−0.1,1,0.1,0.1) | 0.9510 (0.3270) | 0.9340 (0.7110) | 0.9220 (0.6960) |
(−0.1,−0.1,3,0.3,0.3) | 0.9580 (0.3640) | 0.9200 (0.7030) | 0.9350 (0.7330) |
(−0.1,−0.1,5,0.5,0.5) | 0.9460 (0.3460) | 0.9260 (0.7120) | 0.9270 (0.7050) |
(−0.1,−0.1,7,0.7,0.7) | 0.9640 (0.3350) | 0.9120 (0.6850) | 0.9390 (0.7320) |
(0.2,0.2,1,0.1,0.1) | 0.9630 (0.3550) | 0.9310 (0.7180) | 0.9330 (0.7140) |
(0.2,0.2,3,0.3,0.3) | 0.9520 (0.3470) | 0.9290 (0.7310) | 0.9440 (0.7400) |
(0.2,0.2,5,0.5,0.5) | 0.9390 (0.3330) | 0.9360 (0.7250) | 0.9500 (0.7210) |
(−0.2,−0.2,1,0.1,0.1) | 0.9600 (0.3430) | 0.9470 (0.7390) | 0.9440 (0.7260) |
(−0.2,−0.2,3,0.3,0.3) | 0.9560 (0.3290) | 0.9480 (0.7220) | 0.9370 (0.7020) |
(−0.2,−0.2,5,0.5,0.5) | 0.9540 (0.3490) | 0.9390 (0.7460) | 0.9380 (0.7250) |
(0.3,0.3,1,0.1,0.1) | 0.9600 (0.3650) | 0.9370 (0.7270) | 0.9220 (0.7320) |
(0.3,0.3,3,0.3,0.3) | 0.9570 (0.3550) | 0.9410 (0.7260) | 0.9490 (0.7210) |
(−0.3,−0.3,1,0.1,0.1) | 0.9610 (0.3520) | 0.9410 (0.7320) | 0.9390 (0.7150) |
(−0.3,−0.3,3,0.3,0.3) | 0.9500 (0.3740) | 0.9390 (0.7500) | 0.9380 (0.7280) |
(0.4,0.4,1,0.1,0.1) | 0.9620 (0.3690) | 0.9380 (0.7290) | 0.9480 (0.7220) |
(0.4,0.4,1,0.3,0.3) | 0.9600 (0.3710) | 0.9380 (0.7290) | 0.9480 (0.7220) |
(−0.4,−0.4,1,0.1,0.1) | 0.9610 (0.3810) | 0.9420 (0.7370) | 0.9310 (0.7290) |
(−0.4,−0.4,1,0.3,0.3) | 0.9400 (0.3930) | 0.9370 (0.7470) | 0.9340 (0.7330) |
(0.5,0.5,1,0.1,0.1) | 0.9670 (0.3960) | 0.9430 (0.7420) | 0.9240 (0.7340) |
(−0.5,−0.5,1,0.1,0.1) | 0.9670 (0.3950) | 0.9150 (0.7170) | 0.9230 (0.7330) |