【摘要】 针对一类半参数ARCH-M模型的假设检验问题，提出一种有效的检验方法.通过引入正交加权辅助随机向量，构建了基于正交加权的经验似然检验.在满足一定正则条件下，从理论上证明了所提出的经验对数似然比检验统计量具有渐近卡方分布的性质，并据此给出了相应置信水平下的拒绝域.数值模拟结果表明，该方法对备择假设具有较高的检验功效，体现出良好的敏感性与可行性.更多还原

【Abstract】 For a class of hypothesis testing problems concerning semiparametric ARCH-M models,a test method based on orthogonal weighted empirical likelihood is proposed by constructing an orthogonally weighted auxiliary random vector. Under certain regularity conditions,it is theoretically demonstrated that the constructed empirical log-likelihood ratio test statistic follows an asymptotic chi-square distribution,leading to the derivation of the rejection region at a given confidence level. Finally,the testing power is investigated via numerical simulations, the results of which indicate that the proposed test is quite sensitive to the alternative hypothesis.更多还原