On empirical likelihood test for predictability

DOI10.1080/03610926.2018.1465092OpenAlexW2899472430MaRDI QIDQ5078128

Man Wang, Kun Chen

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1465092

zbMATH Keywords

powersizepredictabilityempirical likelihood testself-studentized

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Empirical likelihood ratio confidence regions
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• A new statistic and practical guidelines for nonparametric Granger causality testing
• A nonparametric approach to test for predictability
• Bartlett Correction of Empirical Likelihood for Non‐Gaussian Short‐Memory Time Series
• Predicting the Equity Premium with Dividend Ratios
• Empirical likelihood ratio confidence intervals for a single functional
• Price–Dividend Ratios and Stock Price Predictability

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