GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

DOI10.1017/S0266466606060257zbMath1125.62107MaRDI QIDQ3409065

Taisuke Otsu

Publication date: 7 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

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Cites Work

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• Automatic Lag Selection in Covariance Matrix Estimation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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• A Conditional Likelihood Ratio Test for Structural Models
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION