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On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family




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.

Suggested Citation

  • Lorenzo Camponovo & Taisuke Otsu, 2011. "On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family," Cowles Foundation Discussion Papers 1825, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:1825

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    References listed on IDEAS

    1. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
    2. 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.
    3. Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
    4. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874,
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    Cited by:

    1. Kun Chen & Ngai Hang Chan & Chun Yip Yau, 2016. "Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 624-649, September.
    2. repec:spr:stmapp:v:26:y:2017:i:4:d:10.1007_s10260-017-0382-2 is not listed on IDEAS
    3. Nicola Lunardon & Gianfranco Adimari, 2016. "Second-order Accurate Confidence Regions Based on Members of the Generalized Power Divergence Family," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 213-227, March.

    More about this item


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

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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