文章基本信息

标题：Relative error accurate statistic based on nonparametric likelihood
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作者：Lorenzo Camponovo ; Taisuke Otsu
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：2017
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：This paper develops a new test statistic for parameters defined by moment conditions that exhibits desirable relative error properties for the approximation of tail area probabilities. Our statistic, called the tilted exponential tilting (TET) statistic, is constructed by estimating certain cumulant generating function under exponential tilting weights. We show that the asymptotic p-value of the TET statistic can provide an accurate approximation to the p-value of an infeasible saddlepoint statistic, which is asymptotically chi-squared distributed with a relative error of order n−1 both in normal and large deviation regions. Numerical results illustrate the accuracy of the proposed TET statistic. Our results cover both just- and over-identified moment condition models.
关键词：nonparametric likelihood ; saddlepoint ; moment condition model