Empirical likelihood inference with applications to some econometric models
In this paper we analyse the higher order asymptotic properties of the empirical likelihood ratio test, by means of the dual likelihood theory. It is shown that when the econometric model is just identified, these tests are accurate to an order o(1/n), and this accuracy can always be improved to an order O(1/n^2) by means of a scale correction, as in standard parametric theory. To show this, we first develop a valid Edgeworth expansion for the empirical likelihood ratio under a local alternative in terms of an "induced" local alternative. As a by-product of the expansion, we find an explicit expression for the Bartlett correction in terms of cumulants of dual likelihood derivatives which is slightly different from the standard adjustment reported in the literature on Bartlett corrections of the empirical likelihood ratio. We then highlight the connection between the empirical likelihood method and the bootstrap by obtaining a valid Edgeworth expansion for a bootstrap based empirical likelihood ratio test. The theory is then applied to some standard econometric models and illustrated by means of some Monte Carlo simulations.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Newey, W.K., 1989.
"Efficient Instrumental Variables Estimation Of Nonlinear Models,"
341, Princeton, Department of Economics - Econometric Research Program.
- Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-37, July.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Applications to Poisson Models,"
Econometric Society, vol. 52(3), pages 701-20, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
- Craig Burnside & Martin Eichenbaum, 1994.
"Small Sample Properties of Generalized Method of Moments Based Wald Tests,"
NBER Technical Working Papers
0155, National Bureau of Economic Research, Inc.
- Craig Burnside & Martin Eichenbaum, 1994. "Small sample properties of generalized method of moments based Wald tests," Working Paper Series, Macroeconomic Issues 94-12, Federal Reserve Bank of Chicago.
When requesting a correction, please mention this item's handle: RePEc:yor:yorken:00/05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paul Hodgson)
If references are entirely missing, you can add them using this form.