Empirical likelihood inference for monotone index model

Taisuke Otsu, Keisuke Takahata and Mengshan Xu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper proposes an empirical likelihood inference method for monotone index models. We construct the empirical likelihood function based on a modified score function developed by Balabdaoui et al. (Scand J Stat 46:517–544, 2019), where the monotone link function is estimated by isotonic regression. It is shown that the empirical likelihood ratio statistic converges to a weighted chi-squared distribution. We suggest inference procedures based on an adjusted empirical likelihood statistic that is asymptotically pivotal, and a bootstrap calibration with recentering. A simulation study illustrates usefulness of the proposed inference methods.

Keywords: Empirical likelihood; Isotonic regression; Monotone index model (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2023-02-25
New Economics Papers: this item is included in nep-ecm
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Published in Japanese Journal of Statistics and Data Science, 25, February, 2023, 6(1), pp. 103-114. ISSN: 2520-8756

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:118123

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