An Adaptive Empirical Likelihood Test for Parametric Time Series Regression Models

dc.contributor.author Chen, Song
dc.contributor.author Gao, Jiti
dc.contributor.department Statistics
dc.date 2018-02-16T19:06:37.000
dc.date.accessioned 2020-07-02T06:56:12Z
dc.date.available 2020-07-02T06:56:12Z
dc.date.issued 2004-04-01
dc.description.abstract <p>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).</p>
dc.description.comments <p>This preprint was published as Song Xi Chen and Jiti Gao, "An adaptive Empirical Likelihood Test for Parametric Time Series Regression Models", <em>Journal of Econometrics</em> (2007): 950-972, doi: <a href="http://dx.doi.org/10.1016/j.jeconom.2006.12.002" id="x-ddDoi" target="_blank">10.1016/j.jeconom.2006.12.002</a></p>
dc.identifier archive/lib.dr.iastate.edu/stat_las_preprints/43/
dc.identifier.articleid 1041
dc.identifier.contextkey 7331731
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath stat_las_preprints/43
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/90336
dc.language.iso en
dc.source.bitstream archive/lib.dr.iastate.edu/stat_las_preprints/43/2004_ChenSX_AdaptiveEmpiricalLikelihood.pdf|||Sat Jan 15 00:14:53 UTC 2022
dc.source.uri 10.1016/j.jeconom.2006.12.002
dc.subject.disciplines Statistics and Probability
dc.subject.keywords empirical likelihood
dc.subject.keywords goodness-of-fit test
dc.subject.keywords kernel estimation
dc.subject.keywords rate-optimal test
dc.title An Adaptive Empirical Likelihood Test for Parametric Time Series Regression Models
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isOrgUnitOfPublication 264904d9-9e66-4169-8e11-034e537ddbca
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