Empirical likelihood specification testing in linear regression models

Francesco Bravo

Discussion Papers from Department of Economics, University of York

Abstract: This paper analyses the higher order asymptotic behaviour of a profiled empirical likelihood ratio which can be used as a specification test in linear regression models. Despite the presence of nuisance parameters, a simple Bartlett correction factor is obtained and used to improve to third order the accuracy of commonly used tests such as the inclusion of irrelevant variables without any distributional assumptions about the error process.

JEL-codes: C12 C14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:00/28

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