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Date tilting for time series

Author

Listed:
  • Hall, Peter
  • Yao, Qiwei

Abstract

We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the application of tilting methods to interval estimation in regression, robust statistical inference and estimation subject to constraints. The method can be viewed as ‘empirical likelihood with nuisance parameters’.

Suggested Citation

  • Hall, Peter & Yao, Qiwei, 2003. "Date tilting for time series," LSE Research Online Documents on Economics 5888, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:5888
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    File URL: http://eprints.lse.ac.uk/5888/
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    More about this item

    Keywords

    autoregression; bootstrap; confidence interval; constrained inference; empirical likelihood; linear time series; power divergence; robust inference;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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