Date tilting for time series

Peter Hall and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the application of tilting methods to interval estimation in regression, robust statistical inference and estimation subject to constraints. The method can be viewed as ‘empirical likelihood with nuisance parameters’.

Keywords: autoregression; bootstrap; confidence interval; constrained inference; empirical likelihood; linear time series; power divergence; robust inference (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2003-05
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Published in Journal of the Royal Statistical Society. Series B: Statistical Methodology, May, 2003, 65(2), pp. 425-442. ISSN: 1369-7412

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:5888

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