D. Chiang, Harold, Matsushita, Yukitoshi and Otsu, Taisuke (2024) Multiway empirical likelihood. Journal of Econometrics. ISSN 0304-4076 (In Press)
Text (Multiway empirical likelihood)
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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 |
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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: | 03 Oct 2024 15:33 |
URI: | http://eprints.lse.ac.uk/id/eprint/124395 |
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