A Robust Version of the Empirical Likelihood Estimator

Abstract

In this paper, we introduce a robust version of the empirical likelihood estimator for semiparametric moment condition models. This estimator is obtained by minimizing the modified Kullback–Leibler divergence, in its dual form, using truncated orthogonality functions. We prove the robustness and the consistency of the new estimator. The performance of the robust empirical likelihood estimator is illustrated through examples based on Monte Carlo simulations.

Keywords

• moment condition models
• estimation
• robustness
• empirical likelihood