Generalized likelihood ratio statistics and Wilks phenomenon

By Jianqing Fan, Chunming Zhang, Jian Zhang. 2001

698 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/93c6e84247d56cec5479488998481c9f3f825e66

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In Statistics and Probability

Citations in the corpus

Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling (2013, background): “Nevertheless, to the best of our knowledge, there is no nonparametric hypothesis testing procedure available for this when endogeneity is present, although there are some tests (e.g., Fan, Zhang, and Zhang 2001; Hong and Lee 2009) in the absence of endogeneity.”
Testing for Threshold Effects in Regression Models (2010, background): “It is an interesting research topic to see whether one can generalize the methodology of Fan, Zhang, and Zhang (2001) to cover the case when there may be a nuisance parameter that appears under the alternative, but not under the null.”
Testing Conditional Factor Models: A Nonparametric Approach (2011, neutral): “See, for example, Ferson et al. (1987), Shanken (1990), Ferson and Harvey (1991), Cochrane (1996), Jagannathan and Wang (1996), Lettau and Ludvigson (2001), Wang (2003), Petkova and Zhang (2005), and Santos and Veronesi (2006).”
Estimation and Inference of Discontinuity in Density (2013, methodology): “Therefore, we can still observe the Wilks phe- nomenon (Fan, Zhang, and Zhang 2001) in this nonparametric density discontinuity inference problem.”
Estimation of a semiparametric varying-coefficient partially linear errors-in-variables model (2006, methodology): “In addition, they applied the generalized likelihood techniques in [15] to test hypotheses on the parametric component and demonstrated that the profile likelihood ratio statistics are asymptotically distribution-free and follow 2-distribution under null hypotheses.”
Calibrating the Degrees of Freedom for Automatic Data Smoothing and Effective Curve Checking (2003, methodology): “This article reports on methodologiesbased on the generalized likelihood ratio statistic (GLR) proposed by Fan, Zhang, and Zhang (2001).”
Local and global asymptotic inference in smoothing spline models (2012, methodology): “The degrees of freedom depend only on the functional parameter space, while the null limiting distribution of the GLRT depends on the choice of kernel functions; see Table 2 in [9].”
Sieve estimation of panel data models with cross section dependence (2012, background): “Either the generalized likelihood ratio test of Fan et al. (2001) or the consistent specification test of Li et al. (2003) can be extended to our framework.”
Statistical Methods with Varying Coefficient Models. (2008, methodology): “(1998), Fan and Zhang (1999), Kauermann and Tutz (1999). One is polynomial spline, see Huang et al.”