Saddlepoint expansions for GEL estimators

Gubhinder Kundhi () and Paul Rilstone

Statistical Methods & Applications, 2015, vol. 24, issue 1, 24 pages

Abstract: A simple saddlepoint (SP) approximation for the distribution of generalized empirical likelihood (GEL) estimators is derived. Simulations compare the performance of the SP and other methods such as the Edgeworth and the bootstrap for special cases of GEL: continuous updating, empirical likelihood and exponential tilting estimators. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Higher order asymptotics; Edgeworth expansions; Saddlepoint expansions; Generalized empirical likelihood; Generalized method of moments (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10260-014-0277-4

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