- Volume 20 Issue 3
We employ sieve bootstraps for empirical likelihood tests in time series models because their null distributions are often vulnerable to the presence of serial dependence. We found a significant size refinement of the bootstrapped versions of a Lagrangian Multiplier type test statistic regardless of the bandwidth choice required by long-run variance estimations.
Time series;empirical likelihood;size of the test;sieve bootstrap
- Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817-858. https://doi.org/10.2307/2938229
- Buhlman, P. (1997). Sieve bootstrap for time series, Bernoulli, 3, 123-148. https://doi.org/10.2307/3318584
- Chang, Y. and Park, J. (2004). A sieve bootstrap for the test of a unit root, Journal of Time Series Analysis, 24, 379-400.
- Guggenberger, P. and Smith, R. (2008). Generalized empirical likelihood tests in time series models with potential identification failure, Journal of Econometrics, 142, 134-161. https://doi.org/10.1016/j.jeconom.2007.03.003
- Kitamura, Y. (1997). Empirical likelihood methods with weakly dependent processes, Annals of Statistics, 25, 2084-2102. https://doi.org/10.1214/aos/1069362388
- Kitamura, Y. and Stutzer, M. (1997). An information-theoretic alternative to generalized method of moments estimations, Econometrica, 65, 861-874. https://doi.org/10.2307/2171942
- Kleibergen, F. (2005). Testing parameters in GMM without assuming that they are identified, Econometrica, 73, 1103-1123. https://doi.org/10.1111/j.1468-0262.2005.00610.x
- Newey, W. and Smith, R. (2004). Higher order properties of GMM and empirical likelihood estimators, Econometrica, 72, 219-255. https://doi.org/10.1111/j.1468-0262.2004.00482.x
- Newey, W. and West, K. (1994). Automatic lag selection in covariance matrix estimation, Review of Economic Studies, 61, 631-653. https://doi.org/10.2307/2297912
- Otsu, T. (2006). Generalized empirical likelihood inference for nonlinear and time series models under weak identification, Econometric Theory, 22, 513-527.
- Palm, F. C., Smeekes, S. and Urbain, J.-P. (2010). A sieve bootstrap test for cointegration in a conditional error correction model, Econometric Theory, 26, 647-681. https://doi.org/10.1017/S0266466609990053
- Park, J. (2002). An Invariance Principle for sieve bootstrap in time series, Econometric Theory, 18, 469-490.
- Stock, J. and Wright, J. (2000). GMM with weak identification, Econometrica, 68, 1055-1096. https://doi.org/10.1111/1468-0262.00151
Supported by : National Research Foundation of Korean