This paper considers the parameter estimation problem of a first-order threshold autoregressive conditional heteroscedasticity model by using the empirical likelihood method. We obtain the empirical likelihood ratio statistic based on the estimating equation of the least squares estimation and construct the confidence region for the model parameters. Simulation studies indicate that the empirical likelihood method outperforms the normal approximation-based method in terms of coverage probability.

中文翻译：

---

阈值自回归条件异方差模型的经验似然推断

本文采用经验似然法考虑一阶阈值自回归条件异方差模型的参数估计问题。我们基于最小二乘估计的估计方程获得经验似然比统计量，并构造模型参数的置信区域。仿真研究表明，在覆盖概率方面，经验似然方法优于基于正态近似的方法。