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) | 0.9650 (0.3300) | 0.9410 (0.7330) | 0.9510 (0.7660) |
(0.1,0.1,3,0.3,0.3) | 0.9560 (0.3260) | 0.9410 (0.7390) | 0.9280 (0.7440) |
(0.1,0.1,5,0.5,0.5) | 0.9720 (0.3320) | 0.9310 (0.7280) | 0.9310 (0.7140) |
(0.1,0.1,7,0.7,0.7) | 0.9560 (0.3050) | 0.9490 (0.7280) | 0.9210 (0.7130) |
(−0.1,−0.1,1,0.1,0.1) | 0.9610 (0.3020) | 0.9260 (0.7240) | 0.9350 (0.7530) |
(−0.1,−0.1,3,0.3,0.3) | 0.9710 (0.3300) | 0.9390 (0.7310) | 0.9430 (0.7560) |
(−0.1,−0.1,5,0.5,0.5) | 0.9540 (0.3220) | 0.9350 (0.7230) | 0.9410 (0.7460) |
(−0.1,−0.1,7,0.7,0.7) | 0.9690 (0.3390) | 0.9360 (0.7070) | 0.9330 (0.7200) |
(0.2,0.2,1,0.1,0.1) | 0.9530 (0.3210) | 0.9460 (0.7350) | 0.9240 (0.7140) |
(0.2,0.2,3,0.3,0.3) | 0.9670 (0.3140) | 0.9400 (0.7260) | 0.9290 (0.7550) |
(0.2,0.2,5,0.5,0.5) | 0.9670 (0.3610) | 0.9390 (0.7420) | 0.9510 (0.7660) |
(−0.2,−0.2,1,0.1,0.1) | 0.9560 (0.3490) | 0.9390 (0.7280) | 0.9400 (0.7490) |
(−0.2,−0.2,3,0.3,0.3) | 0.9660 (0.3570) | 0.9360 (0.7090) | 0.9350 (0.7180) |
(−0.2,−0.2,5,0.5,0.5) | 0.9550 (0.3290) | 0.9380 (0.7300) | 0.9190 (0.7180) |
(0.3,0.3,1,0.1,0.1) | 0.9640 (0.3400) | 0.9380 (0.7320) | 0.9330 (0.7460) |
(0.3,0.3,3,0.3,0.3) | 0.9670 (0.3780) | 0.9340 (0.7320) | 0.9350 (0.7560) |
(−0.3,−0.3,1,0.1,0.1) | 0.9640 (0.3600) | 0.9400 (0.7470) | 0.9500 (0.7450) |
(−0.3,−0.3,3,0.3,0.3) | 0.9700 (0.3710) | 0.9380 (0.5650) | 0.9280 (0.7440) |
(0.4,0.4,1,0.1,0.1) | 0.9420 (0.7570) | 0.9150 (0.5650) | 0.9290 (0.7640) |
(0.4,0.4,1,0.3,0.3) | 0.9570 (0.3810) | 0.9350 (0.7380) | 0.9440 (0.7430) |
(−0.4,−0.4,1,0.1,0.1) | 0.9610 (0.4130) | 0.9540 (0.7430) | 0.9360 (0.7470) |
(−0.4,−0.4,1,0.3,0.3) | 0.9600 (0.3850) | 0.9400 (0.7440) | 0.9400 (0.7690) |
(0.5,0.5,1,0.1,0.1) | 0.9540 (0.3940) | 0.9320 (0.754) | 0.9250 (0.7640) |
(−0.5,−0.5,1,0.1,0.1) | 0.9590 (0.4230) | 0.9450 (0.7550) | 0.9500 (0.7760) |