Blockwise empirical entropy tests for time series regressions

Journal of Time Series Analysis

Volumn 26, Issue 2, 2005, Pages 185-210

  Bravo, Francesco ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

mixing; Blocking techniques; Empirical likelihood; Mixed form hypothesis; Wald statistic

Indexed keywords

EID: 14644430905     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00398.x     Document Type: Article

References (30)

1. ANDREWS, D. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
2. ANDREWS, D. W. F. and MONAHAN, J. C. (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953-66.
3. BAGGERLY, K. (1998) Empirical likelihood as a goodness of fit measure. Biometrika 85, 535-47.
4. BROWN, B. and CHEN, S. (1998) Combined and least squares empirical likelihood. Annals of the Institute of Statistical Mathematics 50, 697-714.
5. CARLSTEIN, E. (1986) The use of subseries values for estimating the variance of a general statistic from stationary sequence. Annals of Statistics 14, 1171-9.
6. CHEN, S. X. (1994) Comparing empirical likelihood and bootstrap hypothesis tests. Journal of Multivariate Analysis 51, 277-93.
7. DICICCIO, T., HALL, P. and ROMANO, J. (1991) Empirical likelihood is Bartlett-correctable. Annals of Statistics 19, 1053-61.
8. EFRON, B. (1981) Nonparametric standard errors and confidence intervals (with discussion). Canadian Journal of Statistics 9, 139-72.
9. GOURIEROUX, C. and MONFORT, A. (1989) A general framework for testing a null hypothesis in a "mixed" form. Econometric Theory 5, 63-82.
10. HABERMAN, S. (1984) Adjustment by minimum discriminant information. Annals of Statistics 12, 971-88.
11. HALL, P. and PRESNELL, B. (1999) Intentionally biased bootstrap methods. Journal of the Royal Statistical Society B 61, 143-58.
12. HANSEN, L., HEATON, J. and YARON, A, (1996) Finite sample properties of some alternative GMM estimators. Journal of Business and Economic Statistics 14, 262-80.
13. HOFFMAN, D. and SCHMIDT, P. (1981) Testing the restrictions implied by the rational expectation hypothesis. Journal of Econometrics 15, 265-87.
14. IMBENS, G. (1997) One-step estimators for over-identified generalized method of moments models. Review of Economic Studies 64, 359-83.
15. IMBENS, G., SPADY, R. and JOHNSON, P. (1998) Information theoretic approaches to inference in moment condition models. Econometrica 66, 333-57.
16. KITAMURA, Y. (1997a) Empirical likelihood and the bootstrap for time series regressions. Mimeo, University of Minnesota.
17. KITAMURA, Y. (1997b) Empirical likelihood methods with weakly dependent processes. Annals of Statistics 25, 2084-102.
18. KITAMURA, Y. and STUTZER, M. (1997) An information theoretic alternative to generalized method of moments estimation. Econometrica 65, 861-74.
19. KÜNSCH, H. (1989) The jackknife and the bootstrap for general stationary observations. Annals of Statistics 17, 1217-41.
20. LAZAR, N. and MYKLAND, P. (1998) An evaluation of the power and conditionally properties of empirical likelihood. Biometrika 85, 523-34.
21. MONTI, A. and RONCHETTI, E. (1993) On the relationship between empirical likelihood and empirical saddlepoint approximation for multivariate M-estimators. Biometrika 80, 329-38.
22. MYKLAND, P. (1995) Dual likelihood. Annals of Statistics 23, 396-421.
23. NEWEY, W. and WEST, K. (1987) A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-8.
24. OWEN, A. (1988) Empirical likelihood ratio confidence intervals for a single functional. Biometrika 36, 237-49.
25. OWEN, A. (1991) Empirical likelihood for linear models. Annals of Statistics 19, 1725-47.
26. POLITIS, D. and ROMANO, J. (1992) A general resampling scheme for triangular arrays of α-mixing random variables with application to the problem of spectral density estimation. Annals of Statistics 20, 1985-2007.
27. POLITIS, D. and ROMANO, J. (1993) On the sample variance of linear statistics derived from mixing sequences. Stochastic Processes and their Applications 45, 155-67.
28. READ, T. R. C. and CRESSIE, N. (1988) Goodness-of-fit Statistics for Discrete Multi-variate Data. New York: Springer-Verlag.
29. SPADY, R. (1996) Nonparametric inference by quasi-likelihood methods. Technical Report W19 & 111, Nuffield College, Oxford University.
30. WHITE, H. (1984) Asymptotic Theory for Econometricians. New York: Academic Press.