This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...

Continuity or discontinuity of probability density functions of data often plays a fundamental role in empirical economic analysis. For example, for identification and inference of causal effects in regression discontinuity designs it is typically assumed that the density function of a...

This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the...

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empirical likelihood and Pearson's chi-square as special cases, is not...

This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...

This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the...

When an econometric structural equation includes two endogenous variables and their coefficients are normalized so that their sum of squares is 1, it is natural to express them as the sine and cosine of an angle. The Limited Information Maximum Likelihood (LIML) estimator of this angle when the...

Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous...

This paper studies the properties of t-ratios associated with the limited information maximum likelihood (LIML) estimators in a structural form estimation when the number of instrumental variables is large. Asymptotic expansions are made of the distributions of a large K t-ratio statistic under...