On empirical likelihood statistical functions

Ao Yuan, Jinfeng Xu and Gang Zheng

Journal of Econometrics, 2014, vol. 178, issue P3, 613-623

Abstract: We consider the empirical likelihood method for estimation of distribution and quantile functions where side information is incorporated through moment conditions. We systematically study the asymptotic properties of the estimators, such as the uniform strong laws of large numbers and weak convergence over classes of functions. Two Monte Carlo examples are also given to illustrate the practical utility of the method.

Keywords: Empirical likelihood; Quantile estimation; Uniform SLLN; Uniform CLT (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p3:p:613-623

DOI: 10.1016/j.jeconom.2013.08.037

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