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

DOI10.1016/j.jeconom.2007.03.003zbMath1418.62325MaRDI QIDQ290944

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

zbMATH Keywords

generalized empirical likelihood; size distortion; similar tests; weak identification; nonlinear moment conditions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

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