Finite Sample Properties of the Two-Step Empirical Likelihood Estimator

Patrik Guggenberger and Jinyong Hahn

Econometric Reviews, 2005, vol. 24, issue 3, 247-263

Abstract: We investigate the finite sample properties of two-step empirical likelihood (EL) estimators. These estimators are shown to have the same third-order bias properties as EL itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to provide a good approximation in the sense that the bias of the two-step EL estimators can be substantial and sensitive to the number of moment restrictions and (ii) the two-step EL estimators may have heavy tails.

Keywords: Empirical likelihood estimator; Finite sample performance; High order bias; Two-step empirical likelihood estimator (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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DOI: 10.1080/07474930500242987

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