2017
DOI: 10.1111/ectj.12079
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Second-order refinement of empirical likelihood ratio tests of nonlinear restrictions

Abstract: Summary In this paper, we investigate the second‐order properties of empirical likelihood ratio (ELR) tests of general nonlinear parametric restrictions for over‐identified moment restriction models. We derive the stochastic expansion of the ELR statistic for this very large class of testing problems and its formal distributional expansion. We show that we can improve the size properties of the ELR tests via either Bartlett correction or pseudo observation adjustment. Monte Carlo experiments show that tests ba… Show more

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Cited by 2 publications
(1 citation statement)
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“…It was shown in the literature that EL has favorable properties. See, e.g., Chen and Cui (2007), Kitamura (2001), Matsushita and Otsu (2013), Newey and Smith (2004), Otsu (2010) and Ma (2017) among many others.…”
Section: Introductionmentioning
confidence: 99%
“…It was shown in the literature that EL has favorable properties. See, e.g., Chen and Cui (2007), Kitamura (2001), Matsushita and Otsu (2013), Newey and Smith (2004), Otsu (2010) and Ma (2017) among many others.…”
Section: Introductionmentioning
confidence: 99%