Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models

DOI10.1111/j.1368-423X.2009.00286.xzbMath1206.62045MaRDI QIDQ3161673

Francesco Bravo

Publication date: 15 October 2010

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00286.x

zbMATH Keywords

overidentifying restrictions; near-epoch dependence; blocking techniques; GMM estimators; nonlinear hypotheses

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

65C05: Monte Carlo methods

Related Items

Empirical likelihood for moving average models, Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data, Empirical likelihood methods for discretely observed Gaussian moving averages, Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process, A Progressive Block Empirical Likelihood Method for Time Series, A review of empirical likelihood methods for time series, Blockwise empirical likelihood for time series of counts, Adjusted blockwise empirical likelihood for long memory time series models, Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models, Efficient bootstrap with weakly dependent processes, Robust causality test of infinite variance processes, A nonstandard empirical likelihood for time series

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