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Empirical likelihood for partially time-varying coefficient models with dependent observations
- Source :
- Journal of Nonparametric Statistics. 24:71-84
- Publication Year :
- 2012
- Publisher :
- Informa UK Limited, 2012.
-
Abstract
- In this paper, we apply the empirical likelihood method to study the partially time-varying coefficient models with a random design and a fixed design under dependent assumptions. A nonparametric version of Wilks’ theorem is derived for the fixed-design case. For the random-design case, it is proved that the empirical log-likelihood ratio of the regression parameters admits a limiting distribution with a weighted sum of independent chi-squared distributions. In order that Wilks’ phenomenon holds, we propose an adjusted empirical log-likelihood (ADEL) ratio for the regression parameters. The ADEL is shown to have a standard chi-squared limiting distribution. Simulation studies are undertaken to indicate that the proposed methods work better than the normal approximation-based approach.
Details
- ISSN :
- 10290311 and 10485252
- Volume :
- 24
- Database :
- OpenAIRE
- Journal :
- Journal of Nonparametric Statistics
- Accession number :
- edsair.doi...........d81bea3d2f5ca826e3c278fe17aaaf82