Orthogonal Weighted Empirical Likelihood Test of the Double-Functional Coeffcient ARCH-M Model

The problem of testing a class of double-functional coeffcient ARCH-M models is considered in this paper. An empirical likelihood test based on orthogonal weighting is proposed by constructing an auxiliary random vector with orthogonal weighting. Under some regular conditions, it is theoretically proved that the constructed empirical log-likelihood ratio test statistic asymptotically follows the central chi-square distribution, and the rejection domain with a certain confidence level is obtained, and finally the test effcacy is discussed by numerical simulation.