Wilks’ theorem for semiparametric regressions with weakly dependent data
弱依赖数据半参数回归的 Wilks 定理
The empirical likelihood inference is extended to a class of semiparametric models for stationary, weakly dependent series. A partially linear single-index regression is used for the conditional mean of the series given its past, and the present and past values of a vector of covariates. A parametric model for the conditional variance of the series is added to capture further nonlinear effects. We propose suitable moment equations which characterize the mean and variance…