Empirical likelihood inference for semiparametric model with linear process errors |
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Authors: | Guo-Liang Fan Han-Ying Liang |
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Institution: | Department of Mathematics, Tongji University, Shanghai 200092, PR China |
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Abstract: | The purpose of this article is to use the empirical likelihood method to study the confidence regions construction for the parameters of interest in semiparametric model with linear process errors under martingale difference. It is shown that the adjusted empirical log-likelihood ratio at the true parameters is asymptotically chi-squared. A simulation study indicates that the adjusted empirical likelihood works better than a normal approximation-based approach. |
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