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Bartlett-type Adjustments for Empirical Discrepancy Test Statistics

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  • Francesco Bravo

Abstract

This paper derives two Bartlett-type adjustments that can be used to obtain higher-order improvements to the distribution of the class of empirical discrepancy test statistics recently introduced by Corcoran (1998) as a generalisation of Owen's (1988)empirical likelihood. The corrections are illustrated in the context of the so-called Cressie-Read goodness-of-fit statistic Baggerly, and their effectiveness in finite samples is evaluated using simulations.

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File URL: http://www.york.ac.uk/media/economics/documents/discussionpapers/2004/0414.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of York in its series Discussion Papers with number 04/14.

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Handle: RePEc:yor:yorken:04/14

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Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
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Keywords: asymptotic expansions; Bartlett and Bartlett-type corrections; empirical likelihood; nonparametric likelihood inference;

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References

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  1. Francesco Bravo, 2003. "Second-order power comparisons for a class of nonparametric likelihood-based tests," Biometrika, Biometrika Trust, vol. 90(4), pages 881-890, December.
  2. Chandra, Tapas K. & Mukerjee, Rahul, 1991. "Bartlett-type modification for Rao's efficient score statistic," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 103-112, January.
  3. Bruce Brown & Song Chen, 1998. "Combined and Least Squares Empirical Likelihood," Annals of the Institute of Statistical Mathematics, Springer, vol. 50(4), pages 697-714, December.
  4. Song Chen, 1993. "On the accuracy of empirical likelihood confidence regions for linear regression model," Annals of the Institute of Statistical Mathematics, Springer, vol. 45(4), pages 621-637, December.
  5. Taniguchi, Masanobu, 1991. "Third-order asymptomic properties of a class of test statistics under a local alternative," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 223-238, May.
  6. Chen, S. X., 1994. "Comparing Empirical Likelihood and Bootstrap Hypothesis Tests," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 277-293, November.
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Cited by:
  1. Francesco Bravo, . "Empirical likelihood specification testing in linear regression models," Discussion Papers 00/28, Department of Economics, University of York.
  2. Grendar, Marian & Judge, George G., 2006. "Large Deviations Theory and Empirical Estimator Choice," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt20n3j23r, Department of Agricultural & Resource Economics, UC Berkeley.

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