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This paper studies the empirical likelihood inferences for a class of semiparametric instrumental variable models. We focus on the case that some covariates are endogenous variables, and some auxiliary instrumental variables are available. An instrumental variable based empirical likelihood method is proposed, and it is shown that the proposed empirical log-likelihood ratio is asymptotically chi-squared. Then, the confidence intervals for the regression coefficients are constructed. Some simulation studies are undertaken to assess the finite sample performance of the proposed empirical likelihood procedure. © 2013 Korean Society for Computational and Applied Mathematics.
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来源 :
Journal of Applied Mathematics and Computing
ISSN: 1598-5865
年份: 2013
期: 1-2
卷: 43
页码: 75-90
2 . 2 0 0
JCR@2022
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