GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

DOI10.1017/S0266466606060257MaRDI QIDQ3409065zbMATH OpenFDO

Authors Taisuke Otsu

Publication date 7 November 2006

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Generalized empirical likelihood tests in time series models with potential identification failure
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• GEL statistics under weak identification
• Estimation and inference with weak, semi-strong, and strong identification

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Automatic Lag Selection in Covariance Matrix Estimation
• Empirical likelihood methods with weakly dependent processes
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GMM with Weak Identification
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Testing Parameters in GMM Without Assuming that They Are Identified

Cited in

(21)

• Applications of subsampling, hybrid, and size-correction methods
• Smoothed jackknife empirical likelihood method for ROC curve
• Empirical likelihood for a long range dependent process subordinated to a Gaussian process
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Inference of local regression in the presence of nuisance parameters
• Structural change tests for GEL criteria
• A review of empirical likelihood methods for time series
• Generalized empirical likelihood tests in time series models with potential identification failure
• Bootstrap validity for the score test when instruments may be weak
• A higher-order correct fast moving-average bootstrap for dependent data
• On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
• Culling the Herd of Moments with Penalized Empirical Likelihood
• Robust inference in nonlinear models with mixed identification strength
• Comments on: A review on empirical likelihood methods for regression
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Testing the adequacy of conventional asymptotics in GMM
• Generalized empirical likelihood specification test robust to local misspecification
• Phoebus J. Dhrymes (1932–2016)
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• GEL statistics under weak identification

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