Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
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Cites work
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- A functional central limit theorem for weakly dependent sequences of random variables
- A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A nonstandard empirical likelihood for time series
- A review of empirical likelihood methods for time series
- A self-normalized approach to confidence interval construction in time series
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
- Automatic Block-Length Selection for the Dependent Bootstrap
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Computer-intensive rate estimation, diverging statistics and scanning
- Duality Relationships for Entropy-Like Minimization Problems
- Empirical likelihood and general estimating equations
- Empirical likelihood is Bartlett-correctable
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood on the full parameter space
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Fixed-b asymptotics for blockwise empirical likelihood
- Fixed-smoothing asymptotics for time series
- Fixed-smoothing asymptotics in a two-step generalized method of moments framework
- GEL criteria for moment condition models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3320765 (Why is no real title available?)
- Inference with dependent data using cluster covariance estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Multiple Time Series Regression with Integrated Processes
- On the asymptotic optimality of empirical likelihood for testing moment restrictions
- On the coverage bound problem of empirical likelihood methods for time series
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Simple and powerful GMM over-identification tests with accurate size
- Strong invariance principles for dependent random variables
- Tapered empirical likelihood for time series data in time and frequency domains
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- Weak convergence and empirical processes. With applications to statistics
Cited in
(10)- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Kernel smoothing and jackknife empirical likelihood-based inferences for the generalized Lorenz curve
- Simple and trustworthy cluster-robust GMM inference
- Asymptotic F tests under possibly weak identification
- Finite-sample corrected inference for two-step GMM in time series
- Fixed-smoothing asymptotics for time series
- Fixed-smoothing asymptotics in a two-step generalized method of moments framework
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- Fixed-b asymptotics for blockwise empirical likelihood
- Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
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