On the accuracy of empirical likelihood confidence regions for linear regression model

  • Song Xi Chen
Regression Models

Abstract

The coverage errors of the empirical likelihood confidence regions for β in a linear regression model,Yi=xiβ+ε i , 1≤in, are of ordern−1. Bartlett corrections may be employed to reduce the order of magnitude of the coverage errors ton−2. For practical implementation of Bartlett correction, an empirical Bartlett correction is given.

Key words and phrases

Bartlett correction confidence regions coverage empirical likelihood linear regression model 

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Copyright information

© The Institute of Statistical Mathematics 1993

Authors and Affiliations

  • Song Xi Chen
    • 1
  1. 1.Centre for Mathematics and Its ApplicationsAustralian National UniversityCanberraAustralia

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