Quasi-likelihood fromM-estimators: A numerical comparison with empirical likelihood

Gianfranco Adimari () and Laura Ventura ()
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Gianfranco Adimari: Università degli Studi di Padova
Laura Ventura: Università degli Studi di Padova

Statistical Methods & Applications, 2002, vol. 11, issue 2, No 4, 175-185

Abstract: Abstract In this paper we compare two robust pseudo-likelihoods for a parameter of interest, also in the presence of nuisance parameters. These functions are obtained by computing quasi-likelihood and empirical likelihood from the estimating equations which define robustM-estimators. Application examples in the context of linear transformation models are considered. Monte Carlo studies are performed in order to assess the finite-sample performance of the inferential procedures based on quasi-and empirical likelihood, when the objective is the construction of robust confidence regions.

Keywords: Estimating equation; linear transformation models; profile likelihood; pseudo likelihood; robustness (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/BF02511485

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