An empirical likelihood goodness‐of‐fit test for time series

By Songhui Chen, Wolfgang Karl Härdle, Ming Li. 2003

98 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3d2e7382a6ab436befb6a4d84083396b50ea5e4a

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Citations in the corpus

Empirical Likelihood Methods in Econometrics: Theory and Practice (2006, methodology): “On the other hand, Chen, Härdle, and Li (2003) develop asymptotic theory of their test for dependent processes.”
A review on empirical likelihood methods for regression (2009, background): “ment to the mean leads to improvement in (15) by one order of magnitude (DiCiccio, Hall and Romano, 1991; Chen, 1993 and Chen and Cui, 2007 ) so that”
Empirical likelihood tests for two-sample problems via nonparametric density estimation (2006, background): “sity estimation, like, for instance, Hall and Owen (1993) and Chen (1996) .”
Towards Safe Policy Improvement for Non-Stationary MDPs (2020, unknown): “Further, goodness-of-ﬁt tests [15] could be used to search for a time-series model that best ﬁts the application.”
A Test for model specification of diffusion processes (2007, methodology): “Kernel-based tests have been shown to be effective in testing discrete time series models as demonstrated in Robinson [44], Fan and Li [24], Hjellvik, Yao and Tjøstheim [30], Li [38], Aït-Sahalia, Bickel and Stoker [4], Gozalo and Linton [27] and Chen, Härdle and Li [12]; see Hart [29] and Fan and Y”
Goodness-of-fit tests in parametric regression based on the estimation of the error distribution (2008, methodology): “Other tests based on empirical likelihood ratio have been considered recently (see Chen et al. 2003; Fan et al. 2001).”
Empirical comparisons in short-term interest rate models using nonparametric methods (2006, unknown): “and Zhang (2003), Durham (2003), Jones (2003), Gao and King (2004), Li, Pearson, and Poteshman (2004), Chen and Gao (2005), and Hong and Li (2005).”
Bandwidth Selection in Nonparametric Kernel Testing (2008, methodology): “…for comparison with some of the commonly used tests in the literature, such as the Andrews test proposed by Andrews (1997), the HM test proposed by Härdle and Mammen (1993), the HS test proposed by Horowitz and Spokoiny (2001), and the empirical likelihood (EL) test proposed by Chen et al. (2003).”
An updated review of Goodness-of-Fit tests for regression models (2013, methodology): “For other tests based on empirical likelihood ideas, see Chen et al. (2003) and Chen and Gao (2007). There are also some previous works on simpler hypothesis, such as the linearity of the trend, which implies that Xt = (Yt−1, .”