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Finite Sample Properties of the Two-Step Empirical Likelihood Estimator |
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| Authors: | Patrik Guggenberger Jinyong Hahn |
| Institution: | 1. Department of Economics , University of California at Los Angeles , Los Angeles, California, USA guggenbe@econ.ucla.edu;3. Department of Economics , University of California at Los Angeles , Los Angeles, California, USA |
| Abstract: | ABSTRACT We investigate the finite sample properties of two-step empirical likelihood (EL) estimators. These estimators are shown to have the same third-order bias properties as EL itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to provide a good approximation in the sense that the bias of the two-step EL estimators can be substantial and sensitive to the number of moment restrictions and (ii) the two-step EL estimators may have heavy tails. |
| Keywords: | Empirical likelihood estimator Finite sample performance High order bias Two-step empirical likelihood estimator |