Second-order refinement of empirical likelihood for testing overidentifying restrictions

Yukitoshi Matsushita, Taisuke Otsu

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)324-353
Number of pages30
JournalEconometric Theory
Volume29
Issue number2
DOIs
Publication statusPublished - 2013 Apr 1
Externally publishedYes

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hypothesis testing
supplement
simulation
Testing
Empirical likelihood
Bartlett correction
Hypothesis testing
Moment conditions
Simulation study
Bootstrapping

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Cite this

Second-order refinement of empirical likelihood for testing overidentifying restrictions. / Matsushita, Yukitoshi; Otsu, Taisuke.

In: Econometric Theory, Vol. 29, No. 2, 01.04.2013, p. 324-353.

Research output: Contribution to journalArticle

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