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On Bartlett correctability of empirical likelihood in generalized power divergence family

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  • Camponovo, Lorenzo
  • Otsu, Taisuke

Abstract

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie–Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly’s result by showing that in a generalized class of the power divergence family, which includes the Cressie–Read family and other nonparametric likelihood such as Schennach’s (2005, 2007) exponentially tilted empirical likelihood, empirical likelihood is still the only member to be Bartlett correctable.

Suggested Citation

  • Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," LSE Research Online Documents on Economics 55597, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:55597
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    References listed on IDEAS

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    1. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
    2. Ma, Yanyuan & Ronchetti, Elvezio, 2011. "Saddlepoint Test in Measurement Error Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(493), pages 147-156.
    3. Susanne M. Schennach, 2005. "Bayesian exponentially tilted empirical likelihood," Biometrika, Biometrika Trust, vol. 92(1), pages 31-46, March.
    4. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
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    Cited by:

    1. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Likelihood inference on semiparametric models with generated regressors," LSE Research Online Documents on Economics 102696, London School of Economics and Political Science, LSE Library.
    2. Kun Chen & Ngai Hang Chan & Chun Yip Yau, 2016. "Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 624-649, September.
    3. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2017. "Empirical likelihood ratio in penalty form and the convex hull problem," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(4), pages 507-529, November.
    4. Nicola Lunardon & Gianfranco Adimari, 2016. "Second-order Accurate Confidence Regions Based on Members of the Generalized Power Divergence Family," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 213-227, March.

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    More about this item

    Keywords

    empirical likelihood; Bartlett correction; power divergence family;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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