Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
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Publication:3161673
DOI10.1111/j.1368-423X.2009.00286.xzbMath1206.62045OpenAlexW1996929722MaRDI QIDQ3161673
Publication date: 15 October 2010
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00286.x
overidentifying restrictionsnear-epoch dependenceblocking techniquesGMM estimatorsnonlinear hypotheses
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)
Related Items (12)
Empirical likelihood for moving average models ⋮ Adjusted blockwise empirical likelihood for long memory time series models ⋮ Efficient bootstrap with weakly dependent processes ⋮ Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data ⋮ Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Blockwise empirical likelihood for time series of counts ⋮ A nonstandard empirical likelihood for time series ⋮ A review of empirical likelihood methods for time series ⋮ A Progressive Block Empirical Likelihood Method for Time Series ⋮ Empirical likelihood methods for discretely observed Gaussian moving averages ⋮ Robust causality test of infinite variance processes ⋮ Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process
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