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AA10715861-00000149-0001.pdf
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Title |
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Empirical likelihood inference for monotone index model
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大津, 泰介
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Kana |
オオツ, タイスケ
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Romanization |
Ōtsu, Taisuke
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Affiliation |
Department of Economics, London School of Economics; 慶應義塾大学産業研究所
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Keio Economic Observatory
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高畑, 圭佑
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タカハタ, ケイスケ
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Romanization |
Takahata, Keisuke
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慶應義塾大学経済学部
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Faculty of Economics, Keio University
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Xu, Mengshan
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Department of Economics, London School of Economics
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Keio Economic Observatory Sangyo Kenkyujo
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2019
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KEO discussion paper
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149
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2019
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7
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Abstract |
This paper proposes an empirical likelihood inference method for monotone index models. We construct the empirical likelihood function based on a modified score function developed by Balabdaoui, Groeneboom and Hendrickx (2019), where the monotone link function is estimated by isotonic regression. It is shown that the empirical likelihood ratio statistic converges to a weighted chi-squared distribution. We suggest inference procedures based on an adjusted empirical likelihood statistic that is asymptotically pivotal, and a bootstrap calibration with recentering. A simulation study illustrates usefulness of the proposed inference methods.
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History |
Aug 2, 2019 | | インデックス を変更 |
May 11, 2020 | | Creator,Creator Name,Creator Kana,Creator Romanization,Creator Affiliation,Creator Affiliation (Translated),Creator Role,Creator Link を変更 |
Feb 20, 2024 | | JaLCDOI を変更 |
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Index |
/ Public / Keio Economic Observatory(KEO) / KEO discussion paper / 101-102, 104-108, 110-119, 121-144, 147-149, 152, 155-156, 158-162, 164-168, 170, 173, 175, 177-178 |
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