On Bahadur efficiency of empirical likelihood

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Abstract

This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and set inference problems.

Original languageEnglish
Pages (from-to)248-256
Number of pages9
JournalJournal of Econometrics
Volume157
Issue number2
DOIs
Publication statusPublished - 2010 Aug 1
Externally publishedYes

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Keywords

  • Bahadur efficiency
  • Empirical likelihood
  • GMM
  • Large deviation

ASJC Scopus subject areas

  • Economics and Econometrics

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