An Empirical Likelihood Goodness-of-Fit Test for Time Series

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An Empirical Likelihood Goodness-of-Fit Test for Time Series

Author Info

S. Chen
W. Härdle
T. Kleinow

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Wolfgang Karl Härdle

Abstract

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2001-1.

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Handle: RePEc:wop:humbsf:2001-1

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Article
- Song Xi Chen & Wolfgang Härdle & Ming Li, 2003. "An empirical likelihood goodness-of-fit test for time series," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 663-678. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2001-09-10 (All new papers)
NEP-ECM-2001-09-10 (Econometrics)
NEP-ETS-2001-09-10 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Chen, S. X., 1994. "Comparing Empirical Likelihood and Bootstrap Hypothesis Tests," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 277-293, November. [Downloadable!] (restricted)
Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. [Downloadable!] (restricted)
Other versions:
- Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Other versions:
- E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
Other versions:
- Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Manuel Vega-Gordillo & José Luis Álvarez-Arce, 2005. "Heterogeneity In Economic Freedom: Free Clusters Or Free Countries," Faculty Working Papers 08/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
T. Kleinow, . "Testing the Diffusion Coefficient," Sonderforschungsbereich 373 2002-38, Humboldt Universitaet Berlin.
Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006. [Downloadable!]
Arapis, Manuel & Gao, Jiti, 2004. "Empirical comparisons in short-term interest rate models using nonparametric methods," MPRA Paper 11974, University Library of Munich, Germany, revised 23 Dec 2005. [Downloadable!]
Other versions:
- Manuel Arapis & Jiti Gao, 2006. "Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 310-345. [Downloadable!] (restricted)
Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007. [Downloadable!]
Wang-Li Xu & Li-Xing Zhu, 2008. "Goodness-of-fit testing for varying-coefficient models," Metrika, Springer, vol. 68(2), pages 129-146, September. [Downloadable!] (restricted)

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