An adaptive empirical likelihood test for parametric time series regression models
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Publication:289191
DOI10.1016/J.JECONOM.2006.12.002zbMATH Open1418.62191OpenAlexW1988626165MaRDI QIDQ289191FDOQ289191
Authors: Song Xi Chen, Jiti 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
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Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (28)
- Robust adaptive rate-optimal testing for the white noise hypothesis
- Long-range dependent time series specification
- Smoothed jackknife empirical likelihood method for ROC curve
- The empirical likelihood goodness-of-fit test for regression models
- A review of empirical likelihood methods for time series
- A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
- Specification testing in discretized diffusion models: theory and practice
- An empirical-likelihood-based multivariate EWMA control scheme
- The empirical likelihood for first-order random coefficient integer-valued autoregressive pro\-cesses
- Coefficient constancy test in generalized random coefficient autoregressive model
- Blockwise empirical entropy tests for time series regressions
- Conditional heteroscedasticity test for Poisson autoregressive model
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- An Empirical Likelihood Goodness-of-Fit Test for Time Series
- On implied volatility for options -- some reasons to smile and more to correct
- Specification test for panel data models with interactive fixed effects
- Empirical likelihood ratio tests for multivariate regression models
- A goodness-of-fit test for parametric and semi-parametric models in multiresponse regression
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Empirical likelihood for an autoregressive model with explanatory variables
- Statistical inference for generalized random coefficient autoregressive model
- Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model
- An updated review of goodness-of-fit tests for regression models
- Reduce computation in profile empirical likelihood method
- Simultaneous specification testing of mean and variance structures in nonlinear time series regression
- The first-order random coefficient integer valued autoregressive process with the occasional level shift random noise based on dual empirical likelihood
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