Second-order refinement of empirical likelihood for testing overidentifying restrictions

Yukitoshi Matsushita, Taisuke Otsu

研究成果: Article査読

6 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)324-353
ページ数30
ジャーナルEconometric Theory
29
2
DOI
出版ステータスPublished - 2013 4
外部発表はい

ASJC Scopus subject areas

  • 社会科学(その他)
  • 経済学、計量経済学

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