Research Article Open Access

THE EFFICIENCY OF EMPIRICAL LIKELIHOOD WITH NUISANCE PARAMETERS

Xing Wang1
  • 1 Durham University Business School, United Kingdom

Abstract

In this study we check the asymptotic efficiency of empirical likelihood in the presence of nuisance parameters combined with augmented moment conditions. We show that in the presence of nuisance parameters, the asymptotic efficiency of the empirical likelihood estimator of the parameter of interest will increase by adding more moment conditions, in the sense of the positive semidefiniteness of the difference of information matrices. As a by product, we point out a necessary condition for the asymptotic efficiency to be increased when more moment condition are added.

Journal of Mathematics and Statistics
Volume 10 No. 2, 2014, 125-129

DOI: https://doi.org/10.3844/jmssp.2014.125.129

Submitted On: 3 February 2014 Published On: 17 February 2014

How to Cite: Wang, X. (2014). THE EFFICIENCY OF EMPIRICAL LIKELIHOOD WITH NUISANCE PARAMETERS. Journal of Mathematics and Statistics, 10(2), 125-129. https://doi.org/10.3844/jmssp.2014.125.129

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Keywords

  • Empirical Likelihood
  • Nuisance Parameters