Multiway empirical likelihood

Harold D. Chiang, Yukitoshi Matsushita and Taisuke Otsu

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

Abstract: This paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likelihood statistic that converges to a chi-square distribution under the non-degenerate case, where corresponding Hoeffding type decomposition is dominated by linear terms. Our methodology is related to the notion of jackknife empirical likelihood but the leave-out pseudo values are constructed by leaving out columns or rows. We further develop a modified version of our multiway empirical likelihood statistic, which converges to a chi-square distribution regardless of the degeneracy, and discuss its desirable higher-order property in a simplified setup. The proposed methodology is illustrated by several important econometric problems, such as bipartite network, generalized estimating equations, and three-way observations.

Keywords: Efron-Stein bias; empirical likelihood; jackknife; multiway clustering; two-sample U-statistics (search for similar items in EconPapers)
JEL-codes: J1 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2025-05-31
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Published in Journal of Econometrics, 31, May, 2025, 249. ISSN: 0304-4076

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:124395

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