ON THE ASYMPTOTIC OPTIMALITY OF EMPIRICAL LIKELIHOOD FOR TESTING MOMENT RESTRICTIONS

We show by example that empirical likelihood and other commonly used tests for moment restrictions are unable to control the (exponential) rate at which the probability of a Type I error tends to zero unless the possible distributions for the observed data are restricted appropriately. From this, it...

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Veröffentlicht in:	Econometrica 2012-01, Vol.80 (1), p.413-423
Hauptverfasser:	Kitamura, Yuichi, Santos, Andres, Shaikh, Azeem M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Asymptotic methods Critical values Data analysis Distribution theory Econometrics Empirical likelihood Empirical tests Error Estimating techniques Estimation Exact sciences and technology False negative errors Hoeffding optimality Insurance, economics, finance large deviations Limit theorems Mathematical empiricism Mathematical moments Mathematics Moment restrictions NOTES AND COMMENTS Probability Probability and statistics Probability distribution Probability distributions Probability theory and stochastic processes Random variables Ratio test Sciences and techniques of general use Scientific method Statistics Studies Topology
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