Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions

DOI10.1080/07474938.2011.553541zbMath1217.62042OpenAlexW2107772212MaRDI QIDQ3007555

Giuseppe Ragusa

Publication date: 16 June 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.economics.uci.edu/files/docs/workingpapers/2008-09/ragusa-06.pdf

zbMATH Keywords

GMMmisspecified modelshigher order efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (6)

Empirical phi-divergence test statistics for testing simple and composite null hypotheses ⋮ Identification and Identification Failure for Treatment Effects Using Structural Systems ⋮ Unnamed Item ⋮ Theory-coherent forecasting ⋮ Frequency domain generalized empirical likelihood method ⋮ EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• On the second-order properties of empirical likelihood with moment restrictions
• Conditional empirical likelihood estimation and inference for quantile regression models
• Empirical likelihood ratio confidence regions
• Point estimation with exponentially tilted empirical likelihood
• Second order efficiency of the MLE with respect to any bounded bowl- shaped loss function
• A third-order optimum property of the maximum likelihood estimator
• An algorithm for finding the distribution of maximal entropy
• Empirical likelihood and general estimating equations
• Information and entropy econometrics -- editor's view.
• Implied Probabilities in GMM Estimators
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Equal moments division of a set
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Probability Theory
• Information Theoretic Approaches to Inference in Moment Condition Models
• Efficient Semiparametric Estimation of Expectations
• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Convex Analysis
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown
• Finite Sample Econometrics
• Note on the Consistency of the Maximum Likelihood Estimate
• On Wald's Proof of the Consistency of the Maximum Likelihood Estimate
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions