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On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family

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Abstract

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's result by showing that in a generalized class of the power divergence family, which includes the Cressie-Read family and other nonparametric likelihood such as Schennach's (2005, 2007) exponentially tilted empirical likelihood, empirical likelihood is still the only member to be Bartlett correctable.

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File URL: http://cowles.econ.yale.edu/P/cd/d18a/d1825.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1825.

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Length: 7 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:cwl:cwldpp:1825

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Keywords: Bartlett correction; Empirical likelihood; Cressie-Read power divergence family;

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  1. Ma, Yanyuan & Ronchetti, Elvezio, 2011. "Saddlepoint Test in Measurement Error Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(493), pages 147-156.
  2. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
  3. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
  4. Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
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