Asymptotic Expansions for Several GEL-Based Test Statistics and Hybrid Bartlett-Type Correction with Bootstrap

Yoshihide Kakizawa ()
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Yoshihide Kakizawa: Hokkaido University, Kita-ku, Sapporo

Chapter Chapter 10 in Research Papers in Statistical Inference for Time Series and Related Models, 2023, pp 247-289 from Springer

Abstract: Abstract This paper mainly discusses two issues about asymptotic expansions for the distributions of $$\chi ^2$$ χ 2 -type test statistics. First, it is shown that the generalized empirical likelihood ratio, Wald-type, and score-type test statistics for a subvector hypothesis in the possibly over-identified moment restrictions are, in general, not Bartlett-correctable, except for the empirical likelihood ratio test statistic. Second, starting with the classical likelihood or the modern generalized empirical likelihood, the Bartlett-type corrected test statistics, with the bootstrap procedure, are proposed to achieve a higher-order accurate testing inference for the nonparametric setup as well as the parametric setup.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-0803-5_10

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DOI: 10.1007/978-981-99-0803-5_10

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