Comprehensive Monte Carlo evidence is provided that compares the finite sample properties of generalized empirical likelihood (GEL) estimators to the ones of k-class estimators in the linear instrumental variables (IV) model. We focus on sample median, mean, mean squared error, and on the...

We investigate the finite sample properties of two-step empirical likelihood (EL) estimators. These estimators are shown to have the same third-order bias properties as EL itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to provide a good approximation in...