On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family
8 Pages Posted: 15 Oct 2011
Date Written: October 14, 2011
Abstract
Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's result by showing that in a generalized class of the power divergence family, which includes the Cressie-Read family and other nonparametric likelihood such as Schennach's (2005, 2007) exponentially tilted empirical likelihood, empirical likelihood is still the only member to be Bartlett correctable.
Keywords: Bartlett correction, Empirical likelihood, Cressie-Read power divergence family
JEL Classification: C12, C14
Suggested Citation: Suggested Citation
Camponovo, Lorenzo and Otsu, Taisuke, On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family (October 14, 2011). Cowles Foundation Discussion Paper No. 1825, Available at SSRN: https://ssrn.com/abstract=1944251 or http://dx.doi.org/10.2139/ssrn.1944251
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