COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1825

On Bartlett Correctability of Empirical Likelihood
in Generalized Power Divergence Family

Lorenzo Camponovo and Taisuke Otsu

October 2011

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's result by showing that in a generalized class of the power divergence family, which includes the Cressie-Read family and other nonparametric likelihood such as Schennach's (2005, 2007) exponentially tilted empirical likelihood, empirical likelihood is still the only member to be Bartlett correctable. 

Keywords: Bartlett correction, Empirical likelihood, Cressie-Read power divergence family

JEL Classification: C12, C14