Generalized empirical likelihood tests in time series models with potential identification failure
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- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- GEL statistics under weak identification
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- Structural change tests for GEL criteria
- Generalized empirical likelihood specification test robust to local misspecification
Cites work
- scientific article; zbMATH DE number 3147986 (Why is no real title available?)
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A Conditional Likelihood Ratio Test for Structural Models
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Applications of Differential Geometry to Econometrics
- Automatic Lag Selection in Covariance Matrix Estimation
- Bootstrap validity for the score test when instruments may be weak
- Consistent Estimation with a Large Number of Weak Instruments
- Empirical likelihood and general estimating equations
- Empirical likelihood methods with weakly dependent processes
- Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- GMM with Weak Identification
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Instrumental Variables Regression with Weak Instruments
- Large Sample Properties of Generalized Method of Moments Estimators
- ON CONSISTENT ESTIMATES OF THE SPECTRAL DENSITY OF A STATIONARY TIME SERIES
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- One-Step Estimators for Over-Identified Generalized Method of Moments Models
- Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
- Simple Robust Testing of Regression Hypotheses
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- Testing Parameters in GMM Without Assuming that They Are Identified
- The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
Cited in
(27)- A higher-order correct fast moving-average bootstrap for dependent data
- Identification robust inference in cointegrating regressions
- Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- Comments on: A review on empirical likelihood methods for regression
- Smoothed jackknife empirical likelihood method for ROC curve
- An adaptive empirical likelihood test for parametric time series regression models
- Applications of subsampling, hybrid, and size-correction methods
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Testing the adequacy of conventional asymptotics in GMM
- Reduce computation in profile empirical likelihood method
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Coefficient constancy test in generalized random coefficient autoregressive model
- Empirical likelihood for an autoregressive model with explanatory variables
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- Structural change tests for GEL criteria
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- A review of empirical likelihood methods for time series
- Statistical inference for generalized random coefficient autoregressive model
- Conditional heteroscedasticity test for Poisson autoregressive model
- GEL statistics under weak identification
- Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
- Structural change tests based on implied probabilities for gel criteria
- PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Generalized empirical likelihood specification test robust to local misspecification
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