Improving Small Sample Properties of the Empirical Likelihood Estimation

Naoto Kunitomo
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Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CIRJE-F-184, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We propose to use a simple modification of the maximum empirical likelihood (MEL) method for estimating structural equation in econometrics. The modified estimator improves both the asymptotic bias and the mean squared error of the MEL estimator in the orders of O(n -1) and O(n -2), respectively, at the same time. It also improves the asymptotic bias of the generalized method of moments (GMM) estimation (or the estimating equation (EE) method) significantly when there are many instruments in the econometric literatures.

Pages: 30 pages
Date: 2002-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (2)

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