Linear contrasts in one-way classication AR(1) model with gamma innovations

Year 2016, Volume: 45 Issue: 6, 1743 - 1754, 01.12.2016

Birdal Şenoğlu , Özlem Türker Bayrak

Abstract

In this study, the explicit estimators of the model parameters in oneway classification AR(1) model with gamma innovations are derived
by using modified maximum likelihood (MML) methodology. We also
propose a new test statistic for testing linear contrasts. Monte Carlo
simulation results show that the MML estimators have higher efficiencies than the traditional least squares (LS) estimators and the proposed
test has much better power and robustness properties than the normaltheory test.

Keywords

Autoregressive model, linear contrasts, nonnormality, robustness, modied likelihood, gamma distribution

References

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