TY - JOUR
T1 - Second-order refinement of empirical likelihood for testing overidentifying restrictions
AU - Matsushita, Yukitoshi
AU - Otsu, Taisuke
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2013/4
Y1 - 2013/4
N2 - This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. Our second-order analysis supplements the one in Chen and Cui (2007, Journal of Econometrics141, 492-516) who considered parameter hypothesis testing for overidentified models. In simulation studies we find that the empirical Bartlett correction and adjusted empirical likelihood assisted by bootstrapping provide reasonable improvements for the properties of the null rejection probabilities.
AB - This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. Our second-order analysis supplements the one in Chen and Cui (2007, Journal of Econometrics141, 492-516) who considered parameter hypothesis testing for overidentified models. In simulation studies we find that the empirical Bartlett correction and adjusted empirical likelihood assisted by bootstrapping provide reasonable improvements for the properties of the null rejection probabilities.
UR - http://www.scopus.com/inward/record.url?scp=84875762235&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84875762235&partnerID=8YFLogxK
U2 - 10.1017/S0266466612000369
DO - 10.1017/S0266466612000369
M3 - Article
AN - SCOPUS:84875762235
VL - 29
SP - 324
EP - 353
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
IS - 2
ER -