“…Following the terminology in Tsao and Wu (2013), the finite sample coverage bound problem is due to the mismatch between the domain of the EL and the parameter space, so it is also called a mismatch problem. There have been a few recent proposals to alleviate or resolve the mismatch problem; see, for example adjusted EL (Chen et al, 2008;Emerson and Owen, 2009;Liu and Chen, 2010;Chen and Huang, 2012), penalized EL (Bartolucci, 2007;Lahiri and Mukhopadhyay, 2012) and the domain expansion approach (Tsao andWu, 2013, 2014). However, all these works deal with independent estimation equations, and their direct applicability to the important time series case is not clear.…”