TY - JOUR
T1 - On Bahadur efficiency of empirical likelihood
AU - Otsu, Taisuke
N1 - Funding Information:
The author would like to thank Sunyoung Park for research assistance. The author also thanks an associate editor, two anonymous referees, and the seminar participants at the 2008 North America Summer Meeting of the Econometric Society for helpful comments. Financial support from the National Science Foundation (SES-0720961) is gratefully acknowledged.
PY - 2010/8
Y1 - 2010/8
N2 - 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.
AB - 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.
KW - Bahadur efficiency
KW - Empirical likelihood
KW - GMM
KW - Large deviation
UR - http://www.scopus.com/inward/record.url?scp=77953704236&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=77953704236&partnerID=8YFLogxK
U2 - 10.1016/j.jeconom.2009.12.004
DO - 10.1016/j.jeconom.2009.12.004
M3 - Article
AN - SCOPUS:77953704236
SN - 0304-4076
VL - 157
SP - 248
EP - 256
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -