Generalized empirical likelihood tests in time series models with potential identification failure

DOI10.1016/j.jeconom.2007.03.003zbMath1418.62325OpenAlexW2158283787WikidataQ126258473 ScholiaQ126258473MaRDI QIDQ290944

Richard J. Smith, Patrik Guggenberger

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.03.003

zbMATH Keywords

generalized empirical likelihoodsize distortionsimilar testsweak identificationnonlinear moment conditions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (21)

Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models ⋮ PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION ⋮ Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model ⋮ Statistical inference for generalized random coefficient autoregressive model ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ A review of empirical likelihood methods for time series ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ GEL statistics under weak identification ⋮ Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions ⋮ Smoothed jackknife empirical likelihood method for ROC curve ⋮ Coefficient constancy test in generalized random coefficient autoregressive model ⋮ Identification robust inference in cointegrating regressions ⋮ Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ Comments on: A review on empirical likelihood methods for regression ⋮ Empirical Likelihood for an Autoregressive Model with Explanatory Variables ⋮ Reduce computation in profile empirical likelihood method ⋮ Conditional heteroscedasticity test for Poisson autoregressive model ⋮ Structural change tests for GEL criteria

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