An Adaptive Empirical Likelihood Test for Parametric Time Series Regression Models

Date
2004-04-01
Authors
Chen, Song
Gao, Jiti
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Altmetrics
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Statistics
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Statistics
Abstract

We extend the adaptive and rate-optimal test of Horowitz and Spokoiny (2001) for specification of parametric regression models to weakly dependent time series regression models with an empirical likelihood formulation of our test statistic. It is found that the proposed adaptive empirical likelihood test preserves the rate-optimal property of the test of Horowitz and Spokoiny (2001).

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This preprint was published as Song Xi Chen and Jiti Gao, "An adaptive Empirical Likelihood Test for Parametric Time Series Regression Models", Journal of Econometrics (2007): 950-972, doi: 10.1016/j.jeconom.2006.12.002

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