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Multiway empirical likelihood

D. Chiang, Harold, Matsushita, Yukitoshi and Otsu, Taisuke (2024) Multiway empirical likelihood. Journal of Econometrics. ISSN 0304-4076 (In Press)

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Identification Number: 10.1016/j.jeconom.2024.105861

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: 03 Oct 2024 15:33
URI: http://eprints.lse.ac.uk/id/eprint/124395

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