Testing Linear Restrictions In Linear Models With Empirical Likelihood  

Oleh:

Bravo, Francesco

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 5 no. 1 (2002), page 104-130.
Topik: Bartlett corrections; Empirical likelihood; Linear restrictions; Nuisance parameters
Fulltext: 104.pdf (394.11KB)

Isi artikel

In this paper we analyse the higher order asymptotic behaviour of a profiled empirical likelihood ratio which can be used to test a set of linear restrictions in linear regression models. We show that the resulting profiled empirical likelihood ratio admits a Bartlett correction which can be used to improve to third order the accuracy of commonly used tests in applied research without any distributional assumptions about the error process.

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