An adaptive empirical likelihood test for parametric time series regression models

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.