Sieve empirical likelihood ratio tests for nonparametric functions

  title={Sieve empirical likelihood ratio tests for nonparametric functions},
  author={Jianqing Fan and Jian Zhang},
Generalized likelihood ratio statistics have been proposed in Fan, Zhang and Zhang (2001) as a generally applicable method for testing nonparametric hypotheses concerning about nonparametric functions. The likelihood ratio statistics are constructed based on the assumption that the distributions of stochastic errors are in a certain parametric family. We extend their work to the case where the error distribution is completely unspecified via newly proposed sieve empirical likelihood ratio tests… CONTINUE READING

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