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Abstract Details
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Activity Number:
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662
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2012 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304897 |
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Title:
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C(a)-Type LM Tests in Time Series GEL Model Under Strong and Weak Identification
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Author(s):
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Kalidas Jana*+
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Companies:
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The University of Texas at Brownsville
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Address:
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Department of Finance & Economics, Brownsville, TX, 78520, United States
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Keywords:
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C(a)-type LM tests ;
Generalized Empirical Likelihood model ;
strong and weak identification ;
test of over-identifying moment conditions ;
test of parametric restrictions
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Abstract:
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We propose C(a)-type LM tests in Generalized Empirical Likelihood (GEL) model under strong and weak identification where population moments are functions of finite dimensional stationary strong mixing time series process. Proposed tests are of two kinds. The first kind is test of over-identifying moment conditions of the model. The second kind is test of parametric restrictions of the model. We also carry out Monte Carlo study to investigate finite sample behavior of our proposed tests.
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