Multiway empirical likelihood

Harold D Chiang, Yukitoshi Matsushita and Taisuke Otsu

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: his paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likeli- hood 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 discover its desirable higher-order property compared to the t-ratio by the conventional Eicker-White type variance estimator. The proposed methodology is illus- trated by several important statistical problems, such as bipartite network, two-stage sampling, generalized estimating equations, and three-way observations.

Keywords: Multiway data; empirical likelihood; bipartite network (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-net and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:617

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