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...

We examine empirical relevance of three alternative asymptotic approximations to the distribution of instrumental variables estimators by Monte Carlo experiments. We find that conventional asymptotics provides a reasonable approximation to the actual distribution of instrumental variables...