Frequency domain generalized empirical likelihood method
Article first published online: 22 OCT 2013
Copyright © 2013 John Wiley & Sons, Ltd.
Journal of Time Series Analysis
Volume 34, Issue 6, pages 691–716, November 2013
How to Cite
Kakizawa, Y. (2013), Frequency domain generalized empirical likelihood method. Journal of Time Series Analysis, 34: 691–716. doi: 10.1111/jtsa.12043
- Issue published online: 22 OCT 2013
- Article first published online: 22 OCT 2013
- Manuscript Accepted: 26 JUN 2013
- Manuscript Revised: 4 MAY 2013
- Manuscript Received: 23 JAN 2013
- Frequency domain generalized empirical likelihood;
- spectral restrictions;
- stationary process
This paper is concerned with a version of empirical likelihood method for spectral restrictions, which handles stationary time series data via the frequency domain approach. The asymptotic properties of frequency domain generalized empirical likelihood are studied for either strictly stationary processes with vanishing cumulant spectral density function of order 4 or linear processes generated by iid innovations with possibly non-zero fourth order cumulant. Several statistics for testing parametric restrictions, over-identified spectral restrictions, and additional spectral restrictions are shown to have the limiting chi-squared distributions. Some numerical results are presented to investigate the finite sample performance of the proposed procedures. Copyright © 2013 John Wiley & Sons, Ltd.