An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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- scientific article; zbMATH DE number 938620
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- Empirical likelihood-based evaluations of value at risk models
- Improved instrumental variables and generalized method of moments estimators
- Identification and Kullback information in the GLSEM
- An MCMC approach to classical estimation.
- Portfolio choice with endogenous utility: a large deviations approach.
- Empirical likelihood estimation and consistent tests with conditional moment restrictions
- Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
- Saddlepoint tests for accurate and robust inference on overdispersed count data
- Optimal hedging via large deviation
- Testing with exponentially tilted empirical likelihood
- GEL estimation and tests of spatial autoregressive models
- Inference functions and quadratic score tests
- Generalized empirical likelihood specification test robust to local misspecification
- Information and entropy econometrics -- editor's view.
- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
- Confidence intervals in generalized method of moments models
- Generalized empirical likelihood non-nested tests
- Generalized moment based estimation and inference
- Sample selection and information-theoretic alternatives to GMM
- Connections between entropic and linear projections in asset pricing estimation
- Limited information likelihood and Bayesian analysis
- Comparison of maximum entropy and higher-order entropy estimators.
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Robust small sample accurate inference in moment condition models
- Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
- Empty set problem of maximum empirical likelihood methods
- Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
- Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
- Robust empirical likelihood
- Generalized empirical likelihood for nonsmooth estimating equations with missing data
- The empirical saddlepoint estimator
- Penalized generalized empirical likelihood with a diverging number of general estimating equations for censored data
- A Mann-Whitney test of distributional effects in a multivalued treatment
- Score tests in GMM: why use implied probabilities?
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Calibration estimation of semiparametric copula models with data missing at random
- Nonparametric assessment of hedge fund performance
- Robust causality test of infinite variance processes
- Improved density and distribution function estimation
- High dimensional generalized empirical likelihood for moment restrictions with dependent data
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
- Tests of additional conditional moment restrictions
- Bayesian moment-based inference in a regression model with misclassification error
- Penalized generalized empirical likelihood in high-dimensional weakly dependent data
- Theory-coherent forecasting
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Neglected heterogeneity in moment condition models
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- Oracle, multiple robust and multipurpose calibration in a missing response problem
- The optimal choice of moments in dynamic panel data models
- Choosing instrumental variables in conditional moment restriction models
- Estimation with overidentifying inequality moment conditions
- Maximum entropy analysis of consumption-based capital asset pricing model and volatility
- Density forecast of financial returns using decomposition and maximum entropy
- Optimal statistical decisions about some alternative financial models
- Efficient information theoretic inference for conditional moment restrictions
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Local information theoretic methods for smooth coefficients dynamic panel data models
- Existence and characterization of conditional density projections
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- On the asymptotic efficiency of GMM
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- On the second-order properties of empirical likelihood with moment restrictions
- Generalized empirical likelihood tests in time series models with potential identification failure
- On the state of the art of info-metrics
- Nearly-singular design in GMM and generalized empirical likelihood estimators
- Generalized maximum entropy analysis of the linear simultaneous equations model
- Dynamic quantile models
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- Large deviations of generalized method of moments and empirical likelihood estimators
- Maximum entropy autoregressive conditional heteroskedasticity model
- GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
- Testing for nonnested conditional moment restrictions via conditional empirical likelihood
- Count data models with correlated unobserved heterogeneity
- GEL criteria for moment condition models
- Generalized moment estimation of stochastic differential equations
- Econometric estimation with high-dimensional moment equalities
- Bayesian Estimation and Comparison of Moment Condition Models
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- Adjusted Exponentially Tilted Likelihood with Applications to Brain Morphology
- Discretizing distributions with exact moments: error estimate and convergence analysis
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- Optimal bandwidth selection for robust generalized method of moments estimation
- Spatial median depth-based robust adjusted empirical likelihood
- Large-Deviations Theory and Empirical Estimator Choice
- Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
- The Information Geometric Structure of Generalized Empirical Likelihood Estimators
- Information-Theoretic Distribution Test with Application to Normality
- Semiparametric inference with a functional-form empirical likelihood
- An entropic estimator for linear inverse problems
- Information theory estimators for the first-order spatial autoregressive model
- Information Theoretic Approaches to Inference in Moment Condition Models
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- Generalized empirical likelihood-based model selection criteria for moment condition models
- GMC/GEL estimation of stochastic volatility models
- A general class of non-nested test statistics for models defined through moment restrictions
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