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On the coverage bound problem of empirical likelihood methods for time series

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  • Xianyang Zhang
  • Xiaofeng Shao

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  • Xianyang Zhang & Xiaofeng Shao, 2016. "On the coverage bound problem of empirical likelihood methods for time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 395-421, March.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:2:p:395-421
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    References listed on IDEAS

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    1. Xiaofeng Shao, 2010. "Corrigendum: A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(5), pages 695-696, November.
    2. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
    3. Nordman, Daniel J. & Caragea, Petruta C., 2008. "Point and Interval Estimation of Variogram Models Using Spatial Empirical Likelihood," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 350-361, March.
    4. Daniel J. Nordman, 2009. "Tapered empirical likelihood for time series data in time and frequency domains," Biometrika, Biometrika Trust, vol. 96(1), pages 119-132.
    5. Bartolucci, Francesco, 2007. "A penalized version of the empirical likelihood ratio for the population mean," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 104-110, January.
    6. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1130-1164, December.
    7. Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong, 2015. "High dimensional generalized empirical likelihood for moment restrictions with dependent data," Journal of Econometrics, Elsevier, vol. 185(1), pages 283-304.
    8. Gonçalves, Sílvia & Vogelsang, Timothy J., 2011. "Block Bootstrap Hac Robust Tests: The Sophistication Of The Naive Bootstrap," Econometric Theory, Cambridge University Press, vol. 27(4), pages 745-791, August.
    9. Sun, Yixiao, 2013. "Fixed-smoothing Asymptotics in a Two-step GMM Framework," University of California at San Diego, Economics Working Paper Series qt64x4z265, Department of Economics, UC San Diego.
    10. Cheng Yong Tang & Chenlei Leng, 2010. "Penalized high-dimensional empirical likelihood," Biometrika, Biometrika Trust, vol. 97(4), pages 905-920.
    11. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
    12. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    13. Min Tsao & Fan Wu, 2014. "Extended empirical likelihood for estimating equations," Biometrika, Biometrika Trust, vol. 101(3), pages 703-710.
    14. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    15. Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012. "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers 2012-55, Department of Economics and Business Economics, Aarhus University.
    16. Otsu, Taisuke, 2007. "Penalized empirical likelihood estimation of semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1923-1954, November.
    17. Song Xi Chen & Hengjian Cui, 2006. "On Bartlett correction of empirical likelihood in the presence of nuisance parameters," Biometrika, Biometrika Trust, vol. 93(1), pages 215-220, March.
    18. Young Min Kim & Soumendra N. Lahiri & Daniel J. Nordman, 2013. "A Progressive Block Empirical Likelihood Method for Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1506-1516, December.
    19. Jiahua Chen & Yi Huang, 2013. "Finite-sample properties of the adjusted empirical likelihood," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(1), pages 147-159, March.
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    Cited by:

    1. Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.

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