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http://dx.doi.org/10.5351/CSAM.2013.20.3.199

Size Refinement of Empirical Likelihood Tests in Time Series Models using Sieve Bootstraps  

Lee, Jin (Department of Economics, Ewha Womans University)
Publication Information
Communications for Statistical Applications and Methods / v.20, no.3, 2013 , pp. 199-205 More about this Journal
Abstract
We employ sieve bootstraps for empirical likelihood tests in time series models because their null distributions are often vulnerable to the presence of serial dependence. We found a significant size refinement of the bootstrapped versions of a Lagrangian Multiplier type test statistic regardless of the bandwidth choice required by long-run variance estimations.
Keywords
Time series; empirical likelihood; size of the test; sieve bootstrap;
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