TY  - BOOK
AU  - Matsushita,Yukitoshi
AU  - Otsu,Taisuke
TI  - Second-order refinement of empirical likelihood for testing overidentifying restrictions
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2013///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Empirical likelihood
KW  - GMM
KW  - Overidentification test
KW  - Bartlett correction
KW  - Higher order analysis
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
UR  - https://doi.org/10.1017/S0266466612000369
ER  -