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On Bahadur efficiency of empirical likelihood

This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and set inference problems.
Year of publication:
2010
Authors: Otsu, Taisuke
Published in:
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 157.2010, 2, p. 248-256
Publisher: Elsevier
Keywords: Empirical likelihood Bahadur efficiency Large deviation GMM
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008866499
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