Guggenberger, Patrik; Hahn, Jinyong - In: Econometric Reviews 24 (2005) 3, pp. 247-263
We investigate the finite sample properties of two-step empirical likelihood (EL) estimators. These estimators are shown to have the same third-order bias properties as EL itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to provide a good approximation in...