On the second-order properties of empirical likelihood with moment restrictions

被引：56

作者：

Chen, Song Xi ^{[1
]}

Cui, Hengjian

机构：

[1] Iowa State Univ, Dept Stat, Ames, IA 50011 USA

[2] Beijing Normal Univ, Dept Stat & Financial Math, Beijing 100875, Peoples R China

来源：

JOURNAL OF ECONOMETRICS | 2007年 / 141卷 / 02期

基金：

美国国家科学基金会;

关键词：

Bartlett correction; coverage accuracy; empirical likelihood; generalized method of moments;

D O I：

10.1016/j.jeconom.2006.10.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers the second-order properties of empirical likelihood (EL) for a parameter defined by moment restrictions, which is the inferential framework of the generalized method of moments. It is shown that the EL defined for this general framework still admits the delicate second-order property of Bartlett correction. This represents a substantial extension of all the established cases of Bartlett correction for the EL. An empirical Bartlett correction is proposed, which is shown to work effectively in improving the coverage accuracy of confidence regions for the parameter. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：492 / 516

页数：25

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