Finite sample properties of the two-step empirical likelihood estimator

Patrik Guggenberger, Jinyong Hahn

Research output: Contribution to journalArticle

8 Scopus citations

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

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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