Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
DOI10.1016/j.jeconom.2016.01.009zbMath1420.62405OpenAlexW2275553837MaRDI QIDQ284309
Publication date: 18 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.01.009
saddle point problemgeneralized empirical likelihoodblockwise empirical likelihoodspecification testcontinuous updating estimatorfixed-smoothing asymptoticsheteroscedasticity and autocorrelation consistentover-identification test
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
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