Hypothesis Testing in Generalized Linear Models with Functional Coefficient Autoregressive Processes

摘要

The paper studies the hypothesis testing in generalized linear models with functional coefficient autoregressive (FCA) processes. The quasi-maximum likelihood (QML) estimators are given, which extend those estimators of Hu (2010) and Mailer (2003). Asymptotic chi-squares distributions of pseudo likelihood ratio (LR) statistics are investigated.