Multiway empirical likelihood

D. Chiang, Harold, Matsushita, Yukitoshi and Otsu, Taisuke ORCID: 0000-0002-2307-143X (2024) Multiway empirical likelihood. Journal of Econometrics. ISSN 0304-4076 (In Press)

Text (Multiway empirical likelihood) - Accepted Version Pending embargo until 1 January 2100. Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (1MB)

• Author
• Scopus publication

Abstract

This paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likelihood statistic that converges to a chi-square distribution under the non-degenerate case, where corresponding Hoeffding type decomposition is dominated by linear terms. Our methodology is related to the notion of jackknife empirical likelihood but the leave-out pseudo values are constructed by leaving out columns or rows. We further develop a modified version of our multiway empirical likelihood statistic, which converges to a chi-square distribution regardless of the degeneracy, and discuss its desirable higher-order property in a simplified setup. The proposed methodology is illustrated by several important econometric problems, such as bipartite network, generalized estimating equations, and three-way observations.

Item Type:	Article
Official URL:	https://www.sciencedirect.com/journal/journal-of-e...
Additional Information:	© 2024 Elsevier
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	29 Jul 2024 13:30
Last Modified:	17 Dec 2024 11:36
URI:	http://eprints.lse.ac.uk/id/eprint/124395

Actions (login required)

View Item