Empirical Likelihood for Linear Models Under Linear Process Errors

Yongsong Qin and Qingzhu Lei

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 15, 3218-3233

Abstract: In this article, we study the construction of confidence intervals for regression parameters in a linear model under linear process errors by using the blockwise technique. It is shown that the blockwise empirical likelihood (EL) ratio statistic is asymptotically χ2-type distributed. The result is used to obtain EL based confidence regions for regression parameters. The finite-sample performance of the method is evaluated through a simulation study.

Date: 2015
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DOI: 10.1080/03610926.2013.844258

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