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On the finite-sample properties of conditional empirical likelihood estimators

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  • Crudu, Federico
  • Sándor, Zsolt

Abstract

We provide Monte Carlo evidence on the finite sample behavior of the conditional empirical likelihood (CEL) estimator of Kitamura, Tripathi, and Ahn (2004) and the conditional Euclidean empirical likelihood (CEEL) estimator of Antoine, Bonnal, and Renault (2007) in the context of a heteroskedastic linear model with an endogenous regressor. We compare these estimators with three heteroskedasticity-consistent instrument-based estimators in terms of various performance measures. Our results suggest that the CEL and CEEL with fixed bandwidths may suffer from the no-moment problem, similarly to the unconditional generalized empirical likelihood estimators studied by Guggenberger (2008). We also study the CEL and CEEL estimators with automatic bandwidths selected through cross-validation. We do not find evidence that these suffer from the no-moment problem. When the instruments are weak, we find CEL and CEEL to have finite sample properties --in terms of mean squared error and coverage probability of confidence intervals-- poorer than the heteroskedasticity-consistent Fuller (HFUL) estimator. In the strong instruments case the CEL and CEEL estimators with automatic bandwidths tend to outperform HFUL in terms of mean squared error, while the reverse holds in terms of the coverage probability, although the differences in numerical performance are rather small.

Suggested Citation

  • Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:34116
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    References listed on IDEAS

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    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
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    More about this item

    Keywords

    Conditional empirical likelihood; conditional Euclidean likelihood; heteroskedasticity; weak instruments; cross-validation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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