システム情報工学研究科　　　　　　　　　　　　　　　　　　　　　　　　    

         平成２3年度　　ファカルティ・セミナー

                       (Faculty Seminar)

日　時　：　2011年5 月26日(木)　　16:30−18:00

場　所　：　第三学群F棟　３F 1122

講演者　：　松下　幸敏　[ 筑波大学大学院人文社会科学研究科 ]

司会者　：　石川　竜一郎

演　題　：　Second-order refinement of empirical likelihood for testing

overidentifying restrictions'' (with Taisuke Otsu)

                           ＜ abstract ＞

This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. Our second-order analysis supplements the one in Chen and Cui (2007) who considered parameter hypothesis testing for overidentified models. In simulation studies we find that the empirical Bartlett correction and adjusted empirical likelihood assisted by bootstrapping provide remarkable improvements for the size properties.