An adaptive empirical likelihood test for parametric time series regression models
نویسندگان
چکیده
منابع مشابه
An Adaptive Empirical Likelihood Test for Parametric Time Series Regression Models
A test for a parametric regression model against a sequence of local alternative is constructed based on an empirical likelihood test statistic that measures the goodness-of-fit between the parametric model and its nonparametric counterpart. To reduce the dependence of the test on a single smoothing bandwidth, the test is formulated by maximizing a standardized version of the empirical likeliho...
متن کاملAn Adaptive Empirical Likelihood Test For Time Series Models
where both m(·) and σ(·) are unknown functions defined over R, the data {(Xt, Yt)}t=1 are weakly dependent stationary time series, and et is an error process with zero mean and unit variance. Suppose that {mθ(·)|θ ∈ Θ} is a family of parametric specification to the regression function m(x) where θ ∈ R is an unknown parameter belonging to a parameter space Θ. This paper considers testing the val...
متن کاملAn empirical likelihood goodness-of-fit test for time series
Standard goodness-of-fit tests for a parametric regression model against a series of nonparametric alternatives are based on residuals arising from a fitted model.When a parametric regression model is compared with a nonparametric model, goodness-of-fit testing can be naturally approached by evaluating the likelihood of the parametric model within a nonparametric framework. We employ the empiri...
متن کاملAdaptive estimation in time series regression models
This work develops adaptive estimators for a linear regression model with serially correlated errors. We show that these results continue to hold when the order of the ARMA process characterizing the errors is unknown. The finite sample results are promising, indicating that substantial efficiency gains may be possible for samples as small as 50 observations. We use these estimators to investig...
متن کاملAn Empirical Likelihood Ratio Test for Normality
The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range of alternative distributions show that the ELR test is the most powerful of these tests in certain s...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2007
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2006.12.002