Standard Curves for Empirical Likelihood Ratio Tests of Means

Abstract

We present simulated standard curves for the calibration of empirical likelihood ratio (ELR) tests of means. With the help of these curves, the nominal significance level of the ELR test can be adjusted in order to achieve (quasi-) exact type I error rate control for a given, finite sample size. By theoretical considerations and by computer simulations, we demonstrate that the adjusted significance level depends most crucially on the skewness and on the kurtosis of the parent distribution. For practical purposes, we tabulate adjusted critical values under several prototypical statistical models.