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Revised empirical likelihood

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  • Grendar, Marian
  • Judge, George G.

Abstract

Empirical Likelihood (EL) and other methods that operate within the Empirical Estimating Equations (E3) approach to estimation and inference are challenged by the Empty Set Problem (ESP). ESP concerns the possibility that a model set, which is data-dependent, may be empty for some data sets. To avoid ESP we return from E3 back to the Estimating Equations, and explore the Bayesian infinite-dimensional Maximum A-posteriori Probability (MAP) method. The Bayesian MAP with Dirichlet prior motivates a Revised EL (ReEL) method. ReEL i) avoids ESP as well as the convex hull restriction, ii) attains the same basic asymptotic properties as EL, and iii) its computation complexity is comparable to that of EL.

Suggested Citation

  • Grendar, Marian & Judge, George G., 2010. "Revised empirical likelihood," CUDARE Working Papers 91799, University of California, Berkeley, Department of Agricultural and Resource Economics.
  • Handle: RePEc:ags:ucbecw:91799
    DOI: 10.22004/ag.econ.91799
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    References listed on IDEAS

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    1. Grendar, Marian & Judge, George G., 2009. "Maximum Empirical Likelihood: Empty Set Problem," CUDARE Working Papers 53402, University of California, Berkeley, Department of Agricultural and Resource Economics.
    2. Bruce Brown & Song Chen, 1998. "Combined and Least Squares Empirical Likelihood," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(4), pages 697-714, December.
    3. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
    4. Yuichi Kitamura, 2007. "Nonparametric Likelihood: Efficiency And Robustness," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 26-46, March.
    5. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-519, March.
    6. Grendar, Marian & Judge, George G, 2009. "Maximum empirical likelihood : empty set problem," CUDARE Working Paper Series 1090, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
    7. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
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    Cited by:

    1. Jaeger, Adam & Lazar, Nicole A., 2020. "Split sample empirical likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).

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