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Saddlepoint expansions for GEL estimators

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  • Gubhinder Kundhi

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  • Paul Rilstone

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Abstract

A simple saddlepoint (SP) approximation for the distribution of generalized empirical likelihood (GEL) estimators is derived. Simulations compare the performance of the SP and other methods such as the Edgeworth and the bootstrap for special cases of GEL: continuous updating, empirical likelihood and exponential tilting estimators. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Gubhinder Kundhi & Paul Rilstone, 2015. "Saddlepoint expansions for GEL estimators," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 1-24, March.
  • Handle: RePEc:spr:stmapp:v:24:y:2015:i:1:p:1-24
    DOI: 10.1007/s10260-014-0277-4
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    References listed on IDEAS

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    1. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    2. Pfanzagl, J. & Wefelmeyer, W., 1978. "A third-order optimum property of the maximum likelihood estimator," Journal of Multivariate Analysis, Elsevier, vol. 8(1), pages 1-29, March.
    3. Kundhi, Gubhinder & Rilstone, Paul, 2013. "Edgeworth And Saddlepoint Expansions For Nonlinear Estimators," Econometric Theory, Cambridge University Press, vol. 29(05), pages 1057-1078, October.
    4. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    5. 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.
    6. Veronika Czellar & Elvezio Ronchetti, 2010. "Accurate and robust tests for indirect inference," Biometrika, Biometrika Trust, vol. 97(3), pages 621-630.
    7. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
    8. Phillips, Peter C B, 1977. "A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators," Econometrica, Econometric Society, vol. 45(6), pages 1517-1534, September.
    9. Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
    10. Kundhi, Gubhinder & Rilstone, Paul, 2012. "Edgeworth expansions for GEL estimators," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 118-146.
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