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.
Original language | English (US) |
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Pages (from-to) | 247-263 |
Number of pages | 17 |
Journal | Econometric Reviews |
Volume | 24 |
Issue number | 3 |
DOIs | |
State | Published - 2005 |
All Science Journal Classification (ASJC) codes
- Economics and Econometrics