期刊
JOURNAL OF ECONOMETRICS
卷 141, 期 2, 页码 950-972出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2006.12.002
关键词
empirical likelihood; goodness-of-fit test; kernel estimation; rate-optimal test; nonparametric time; series
We propose an adaptive empirical likelihood (EL) test for a parametric regression model against a class of alternatives for weakly dependent time series observations. The test is formulated by maximizing a standardized version of the EL statistic over a set of smoothing bandwidths. It is demonstrated that the proposed test is able to distinguish the null hypothesis from a series of local alternatives at an optimal rate. (c) 2006 Elsevier B.V. All rights reserved.
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