Article ID Journal Published Year Pages File Type
5096921 Journal of Econometrics 2010 9 Pages PDF
Abstract
This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and set inference problems.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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