Generalized empirical likelihood specification test robust to local misspecification

DOI10.1016/j.econlet.2018.07.024zbMath1402.62203OpenAlexW2885014445MaRDI QIDQ1788007

Haiqi Li, Rui Fan, Sung Y. Park

Publication date: 8 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.07.024

zbMATH Keywords

local misspecificationgeneralized empirical likelihoodrobust specification testtime series setting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

Cites Work

• Testing under local misspecification and artificial regressions
• Empirical likelihood and general estimating equations
• GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
• GEL CRITERIA FOR MOMENT CONDITION MODELS
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• Empirical likelihood ratio confidence intervals for a single functional
• Implicit Alternatives and the Local Power of Test Statistics
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Tests for the error component model in the presence of local misspecification

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