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Empirical likelihood for random sets

Adusumilli, Karun and Otsu, Taisuke (2014) Empirical likelihood for random sets. Econometrics, EM/2014/574. The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Identification Number: EM/2014/574

Abstract

We extend the method of empirical likelihood to cover hypotheses involving the Aumann expectation of random sets. By exploiting the properties of random sets, we convert the testing problem into one involving a continuum of moment restrictions for which we propose two inferential procedures. The first, which we term marked empirical likelihood, corresponds to constructing a non-parametric likelihood for each moment restriction and assessing the resulting process. The second, termed sieve empirical likelihood, corresponds to constructing a likelihood for a vector of moments with growing dimension. We derive the asymptotic distributions under the null and sequence of local alternatives for both types of tests and prove their consistency. The applicability of these inferential procedures is demonstrated in the context of two examples on the mean of interval observations and best linear predictors for interval outcomes.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2014 The Authors
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HM Sociology
Sets: Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 21 Jul 2014 15:51
Last Modified: 21 Jul 2014 15:51
Projects: SNP 615882
Funders: European Research Council (ERC) Consolidator
URI: http://eprints.lse.ac.uk/id/eprint/58064

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