ON THE ACCURACY OF EMPIRICAL LIKELIHOOD CONFIDENCE-REGIONS FOR LINEAR-REGRESSION MODEL

The coverage errors of the empirical likelihood confidence regions for beta in a linear regression model, Y(i) = x(i)beta + epsilon(i), 1 less-than-or-equal-to i less-than-or-equal-to n. are of order n-1. Bartlett corrections may be employed to reduce the order of magnitude of the coverage errors to n-2. For practical implementation of Bartlett correction, an empirical Bartlett correction is given.