Generalized empirical likelihood inference for nonlinear and time series models under weak identification

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Abstract

This paper studies robust inference methods for nonlinear moment restriction models with weakly identified parameters in time series contexts. Our methods are based on generalized empirical likelihood with kernel smoothing. The proposed test statistics, which follow the standard χ 2 limiting distributions, are robust to weak identification and dependent data.

Original languageEnglish
Pages (from-to)513-527
Number of pages15
JournalEconometric Theory
Volume22
Issue number3
DOIs
Publication statusPublished - 2006 Jun 1
Externally publishedYes

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ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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