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On Bartlett correction of empirical likelihood in the presence of nuisance parameters

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  • Song Xi Chen
  • Hengjian Cui

Abstract

Lazar & Mykland (1999) showed that an empirical likelihood defined by two estimating equations with a nuisance parameter need not be Bartlett-correctable. This paper shows that Bartlett correction of empirical likelihood in the presence of a nuisance parameter depends critically on the way the nuisance parameter is removed when formulating the likelihood for the parameter of interest. We establish in the broad framework of estimating functions that the empirical likelihood is still Bartlett-correctable if the nuisance parameter is profiled out given the value of the parameter of interest. Copyright 2006, Oxford University Press.

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  • Song Xi Chen & Hengjian Cui, 2006. "On Bartlett correction of empirical likelihood in the presence of nuisance parameters," Biometrika, Biometrika Trust, vol. 93(1), pages 215-220, March.
    • Handle: RePEc:oup:biomet:v:93:y:2006:i:1:p:215-220
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    File URL: http://hdl.handle.net/10.1093/biomet/93.1.215
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