Jackknife Empirical Likelihood for Inequality Constraints on Regular Functionals

Ruxin Chen and Rami Tabri ()

No 2019-07, Working Papers from University of Sydney, School of Economics

Abstract: Empirical likelihood is effective in many different practical situations involving moment equality and/or inequality restrictions. However, in applications with nonlinear functionals of the underlying distribution, it becomes computationally more difficult to implement. We propose the use of jackknife empirical likelihood (Jing et al., 2009) to circumvent the computational difficulties with nonlinear inequality constraints and establish the chi-bar-square distribution as the limiting null distribution of the resulting empirical likelihood-ratio statistic, where a finite number of inequalities on functionals that are regular, in the sense of Hoeffding (1948), defines the null hypothesis. The class of regular functionals includes many nonlinear functionals that arise in practice and has moments as a special case. To overcome the implementation challenges with this non-pivotal asymptotic null distribution, we propose an empirical likelihood bootstrap procedure that is valid with uniformity. Finally, we investigate the finitesample properties of the bootstrap procedure using Monte Carlo simulations and find that the results are promising.

Keywords: Jackknife Empirical Likelihood; Bootstrap Test; Inequality Restrictions; U-statistics (search for similar items in EconPapers)
Date: 2019-04, Revised 2019-09
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://econ-wpseries.com/2019/201907_02.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to econ-wpseries.com:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:syd:wpaper:2019-07

Access Statistics for this paper

More papers in Working Papers from University of Sydney, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Vanessa Holcombe ().