Efficient Semiparametric Estimation of Expectations

DOI10.2307/2998566MaRDI QIDQ4530913zbMATH OpenOpenAlexFDO

Authors Bryan Brown, Whitney Newey

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2998566

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

Cited in

(27)

• Testing conditional moment restrictions
• Saddlepoint tests for accurate and robust inference on overdispersed count data
• Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
• Improved density and distribution function estimation
• Neglected heterogeneity in moment condition models
• Breakdown point theory for implied probability bootstrap
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• GEL criteria for moment condition models
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Efficient estimation in models with independence restrictions
• Relative error accurate statistic based on nonparametric likelihood
• Shrinkage of variance for minimum distance based tests
• On efficiency gains from multiple incomplete subsamples
• GEL statistics under weak identification
• The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
• Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors
• Assessing misspecified asset pricing models with empirical likelihood estimators
• Semi-parametric estimation of American option prices
• Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
• A simplified approach to computing efficiency bounds in semiparametric models
• Editors' introduction
• Inference on strongly identified functionals of weakly identified functions
• Efficient estimation in dynamic conditional quantile models
• Estimating features of a distribution from binomial data
• A new class of asymptotically efficient estimators for moment condition models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

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