A Non-standard Empirical Likelihood for Time Series
Download full text from publisher
Other versions of this item:
- Nordman, Daniel J. & Bunzel, Helle & Lahiri, Soumendra N., 2013. "A Nonstandard Empirical Likelihood for Time Series," Staff General Research Papers Archive 37203, Iowa State University, Department of Economics.
References listed on IDEAS
- Zhang, Junjian, 2006. "Empirical likelihood for NA series," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 153-160, January.
- Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2008.
"Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing,"
Econometric Society, vol. 76(1), pages 175-194, January.
- Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers 1545, Cowles Foundation for Research in Economics, Yale University.
- Lin, Lu & Zhang, Runchu, 2001. "Blockwise empirical Euclidean likelihood for weakly dependent processes," Statistics & Probability Letters, Elsevier, vol. 53(2), pages 143-152, June.
- Francesco Bravo, 2009. "Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 208-231, July.
- Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September.
- Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000. "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, vol. 68(3), pages 695-714, May.
- Xiaofeng Shao, 2010. "A self-normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366.
- 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.
- Nicholas M. Kiefer & Timothy J. Vogelsang, 2002.
"Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation,"
Econometric Society, vol. 70(5), pages 2093-2095, September.
- Kiefer, Nicholas M., 2001. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation," Working Papers 01-13, Cornell University, Center for Analytic Economics.
- Wu, Rongning & Cao, Jiguo, 2011. "Blockwise empirical likelihood for time series of counts," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 661-673, March.
- Bunzel H. & Kiefer N. M. & Vogelsang T. J., 2001.
"Simple Robust Testing of Hypotheses in Nonlinear Models,"
Journal of the American Statistical Association,
American Statistical Association, vol. 96, pages 1088-1096, September.
- Bunzel, Helle & Kiefer, Nicholas M. & Vogelsang, Timothy, 2001. "Simple Robust Testing of Hypothesis in Non-Linear Models," Staff General Research Papers Archive 5214, Iowa State University, Department of Economics.
- Politis, Dimitris N. & Romano, Joseph P., 1993. "On the sample variance of linear statistics derived from mixing sequences," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 155-167, March.
- Francesco Bravo, 2005. "Blockwise empirical entropy tests for time series regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 185-210, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.
- 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.
More about this item
KeywordsBrownian motion; Confidence Regions; Stationarity; Weak Dependence;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-ECM-2012-12-10 (Econometrics)
- NEP-ETS-2012-12-10 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aah:create:2012-55. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.au.dk/afn/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.