On Bahadur efficiency of empirical likelihood
نویسنده
چکیده
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.
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