On Bahadur efficiency of empirical likelihood

Taisuke Otsu

Journal of Econometrics, 2010, vol. 157, issue 2, 248-256

Abstract: This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and set inference problems.

Keywords: Empirical; likelihood; Bahadur; efficiency; Large; deviation; GMM (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:2:p:248-256

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