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On the coverage bound problem of empirical likelihood methods for time series

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  • Xianyang Zhang
  • Xiaofeng Shao

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  • 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.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:2:p:395-421
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    File URL: http://hdl.handle.net/10.1111/rssb.12119
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    References listed on IDEAS

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    1. Xiaofeng Shao, 2010. "Corrigendum: A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(5), pages 695-696, November.
    2. Min Tsao & Fan Wu, 2014. "Extended empirical likelihood for estimating equations," Biometrika, Biometrika Trust, vol. 101(3), pages 703-710.
    3. Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012. "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers 2012-55, Department of Economics and Business Economics, Aarhus University.
    4. 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, June.
    5. Bartolucci, Francesco, 2007. "A penalized version of the empirical likelihood ratio for the population mean," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 104-110, January.
    6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    7. Gonçalves, Sílvia & Vogelsang, Timothy J., 2011. "Block Bootstrap Hac Robust Tests: The Sophistication Of The Naive Bootstrap," Econometric Theory, Cambridge University Press, vol. 27(4), pages 745-791, August.
    8. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
    9. Song Xi Chen & Hengjian Cui, 2006. "On Bartlett correction of empirical likelihood in the presence of nuisance parameters," Biometrika, Biometrika Trust, vol. 93(1), pages 215-220, March.
    10. Young Min Kim & Soumendra N. Lahiri & Daniel J. Nordman, 2013. "A Progressive Block Empirical Likelihood Method for Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1506-1516, December.
    11. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
    12. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1130-1164, December.
    13. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    14. Jiahua Chen & Yi Huang, 2013. "Finite-sample properties of the adjusted empirical likelihood," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(1), pages 147-159, March.
    15. Nordman, Daniel J. & Caragea, Petruta C., 2008. "Point and Interval Estimation of Variogram Models Using Spatial Empirical Likelihood," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 350-361, March.
    16. 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.
    17. Sun, Yixiao, 2013. "Fixed-smoothing Asymptotics in a Two-step GMM Framework," University of California at San Diego, Economics Working Paper Series qt64x4z265, Department of Economics, UC San Diego.
    18. Cheng Yong Tang & Chenlei Leng, 2010. "Penalized high-dimensional empirical likelihood," Biometrika, Biometrika Trust, vol. 97(4), pages 905-920.
    19. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    20. Otsu, Taisuke, 2007. "Penalized empirical likelihood estimation of semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1923-1954, November.
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    Cited by:

    1. Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.

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