An adaptive empirical likelihood test for parametric time series regression models

DOI10.1016/j.jeconom.2006.12.002zbMath1418.62191OpenAlexW1988626165MaRDI QIDQ289191

Song Xi Chen, J. T. Gao

Publication date: 27 May 2016

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

Full work available at URL: https://lib.dr.iastate.edu/stat_las_preprints/43

zbMATH Keywords

kernel estimationempirical likelihoodgoodness-of-fit testnonparametric time seriesrate-optimal test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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