Second-order refinement of empirical likelihood for testing overidentifying restrictions
Matsushita, Yukitoshi
Second-order refinement of empirical likelihood for testing overidentifying restrictions created by by Yukitoshi Matsushita and Taisuke Otsu - Econometric Theory Volume 29, number 2 .
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.
02664666
Empirical likelihood--Overidentification test--GMM
Bartlett correction--Higher order analysis
HB139.T52 ECO
Second-order refinement of empirical likelihood for testing overidentifying restrictions created by by Yukitoshi Matsushita and Taisuke Otsu - Econometric Theory Volume 29, number 2 .
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.
02664666
Empirical likelihood--Overidentification test--GMM
Bartlett correction--Higher order analysis
HB139.T52 ECO