On the Second Order Properties of Empirical Likelihood with Moment Restrictions1

dc.contributor.author Chen, Song
dc.contributor.author Cui, Hengjian
dc.contributor.department Statistics
dc.date 2018-02-16T19:00:19.000
dc.date.accessioned 2020-07-02T06:56:09Z
dc.date.available 2020-07-02T06:56:09Z
dc.date.issued 2004-02-01
dc.description.abstract <p>This paper considers the second order properties of empirical likelihood for a parameter defined by moment restrictions, which is the framework operated upon by the Generalized Method of Moments. It is shown that the empirical likelihood defined for this general framework still admits the delicate second order property of Bartlett correction, which represents a substantial extension of all the established cases of Bartlett correction for the empirical likelihood. An empirical Bartlett correction is proposed, which is shown to work effectively in improving the coverage accuracy of confidence regions for the parameter.</p>
dc.description.comments <p>This preprint was published as Song Xi Chen and Hengjian Cui, "On the second-order properties of empirical likelihood with moment restrictions", <em>Journal of Econometrics</em> (2007): 492-516, doi: <a href="http://dx.doi.org/10.1016/j.jeconom.2006.10.006" id="x-ddDoi" target="_blank">10.1016/j.jeconom.2006.10.006</a></p>
dc.identifier archive/lib.dr.iastate.edu/stat_las_preprints/36/
dc.identifier.articleid 1038
dc.identifier.contextkey 7330908
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath stat_las_preprints/36
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/90328
dc.source.bitstream archive/lib.dr.iastate.edu/stat_las_preprints/36/2004_ChenSX_OnSecondOrder.pdf|||Fri Jan 14 23:46:34 UTC 2022
dc.source.uri 10.1016/j.jeconom.2006.10.006
dc.subject.disciplines Statistics and Probability
dc.subject.keywords Bartlett correction
dc.subject.keywords coverage accuracy
dc.subject.keywords empirical likelihood
dc.subject.keywords generalized method of moments
dc.title On the Second Order Properties of Empirical Likelihood with Moment Restrictions1
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isOrgUnitOfPublication 264904d9-9e66-4169-8e11-034e537ddbca
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