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Emirical Likelihood in Some Semiparametric Models

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  • Patrice Bertail

    (Crest)

Abstract

This paper studies the properties of empirical likelihood for Hadamard differentiable functionalstangentially to a well chosen set and gives some extensions in more general semiparametricmodels. We give a straightforward proof of its asymptotic validity and Bartlettcorrectability, essentially based on two ingredients convex duality and LAN properties ofthe empirical likelihood ratio in its dual form. Extensions to semiparametric problems withestimated infinite dimensional parameters are also considered. We give some applicationsto confidence intervals for the position parameter of a symmetric model and general functionalsin biased sampling models.

Suggested Citation

  • Patrice Bertail, 2003. "Emirical Likelihood in Some Semiparametric Models," Working Papers 2003-12, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2003-12
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    References listed on IDEAS

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    1. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers Archive 1488, Iowa State University, Department of Economics.
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