Dovonon, Prosper (2008): Large sample properties of the threestep euclidean likelihood estimators under model misspecification.

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Abstract
This paper studies the threestep Euclidean likelihood (3S) estimator and its corrected version as proposed by Antoine, Bonnal and Renault (2007) in globally misspecified models. We establish that the 3S estimator stays √nconvergent and asymptotically Gaussian. The discontinuity in the shrinkage factor makes the analysis of the corrected3S estimator harder to carry out in misspecified models. We propose a slight modification to this factor to control its rate of divergence in case of misspecification. We show that the resulting modified3S estimator is also higher order equivalent to the maximum empirical likelihood (EL) estimator in well specified models and √nconvergent and asymptotically Gaussian in misspecified models. Its asymptotic distribution robust to misspecification is also provided. Because of these properties, both the 3S and the modified3S estimators could be considered as computationally attractive alternatives to the exponentially tilted empirical likelihood estimator proposed by Schennach (2007) which also is higher order equivalent to EL in well specified models and √nconvergent in misspecified models.
Item Type:  MPRA Paper 

Original Title:  Large sample properties of the threestep euclidean likelihood estimators under model misspecification 
Language:  English 
Keywords:  Misspecified models, Empirical likelihood, Threestep Euclidean likelihood 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  40025 
Depositing User:  Prosper Dovonon 
Date Deposited:  12. Jul 2012 02:26 
Last Modified:  17. Feb 2013 17:38 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/40025 