On the finite-sample properties of conditional empirical likelihood estimators

Federico Crudu () and Zsolt Sándor

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Conditional empirical likelihood; conditional Euclidean likelihood; heteroskedasticity; weak instruments; cross-validation (search for similar items in EconPapers)
JEL-codes: C13 C14 C15 C30 (search for similar items in EconPapers)
Date: 2011-09-23
New Economics Papers: this item is included in nep-cis, nep-ecm and nep-ore
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