Finite sample properties of the two-step empirical likelihood estimator

Patrik Guggenberger, Jinyong Hahn

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

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 the sense that the bias of the two-step EL estimators can be substantial and sensitive to the number of moment restrictions and (ii) the two-step EL estimators may have heavy tails.

Original languageEnglish (US)
Pages (from-to)247-263
Number of pages17
JournalEconometric Reviews
Volume24
Issue number3
DOIs
StatePublished - Oct 6 2005

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Empirical likelihood
Estimator
Finite sample properties
Monte Carlo study
Heavy tails
Approximation

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Finite sample properties of the two-step empirical likelihood estimator. / Guggenberger, Patrik; Hahn, Jinyong.

In: Econometric Reviews, Vol. 24, No. 3, 06.10.2005, p. 247-263.

Research output: Contribution to journalArticle

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