Generalized empirical likelihood tests in time series models with potential identification failure

DOI10.1016/J.JECONOM.2007.03.003zbMATH Open1418.62325OpenAlexW2158283787WikidataQ126258473 ScholiaQ126258473MaRDI QIDQ290944FDOQ290944

Richard J. Smith, Patrik Guggenberger

Publication date: 3 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.03.003

Recommendations

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• Structural change tests for GEL criteria
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zbMATH Keywords

generalized empirical likelihoodsize distortionsimilar testsweak identificationnonlinear moment conditions

Mathematics Subject Classification ID

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)

Cites Work

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• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION

Cited In (21)

• Applications of subsampling, hybrid, and size-correction methods
• STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA
• Empirical Likelihood for an Autoregressive Model with Explanatory Variables
• Smoothed jackknife empirical likelihood method for ROC curve
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Structural change tests for GEL criteria
• A review of empirical likelihood methods for time series
• A higher-order correct fast moving-average bootstrap for dependent data
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• Coefficient constancy test in generalized random coefficient autoregressive model
• Conditional heteroscedasticity test for Poisson autoregressive model
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
• Comments on: A review on empirical likelihood methods for regression
• PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
• Testing the adequacy of conventional asymptotics in GMM
• Identification robust inference in cointegrating regressions
• Statistical inference for generalized random coefficient autoregressive model
• Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model
• Reduce computation in profile empirical likelihood method
• GEL statistics under weak identification

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