Implied Probabilities in GMM Estimators
From MaRDI portal
Recommendations
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- GEL criteria for moment condition models
- Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
- On GMM estimation of distributions from grouped data
- GMM with Weak Identification
Cited in
(33)- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
- Generalized empirical likelihood non-nested tests
- Sample selection and information-theoretic alternatives to GMM
- Score tests in GMM: why use implied probabilities?
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Improved density and distribution function estimation
- Neglected heterogeneity in moment condition 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
- GMM estimation of a maximum entropy distribution with interval data
- Improved generalized method of moments estimators for weakly dependent observations
- Breakdown point theory for implied probability bootstrap
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- The role of beliefs in inference for rational expectations models
- GEL criteria for moment condition models
- Efficient derivative pricing by the extended method of moments
- Realized volatility when sampling times are possibly endogenous
- The Information Geometric Structure of Generalized Empirical Likelihood Estimators
- A general class of non-nested test statistics for models defined through moment restrictions
- Implicit Distributions and Estimation
- scientific article; zbMATH DE number 7626743 (Why is no real title available?)
- Robustness of Bootstrap in Instrumental Variable Regression
- GEL statistics under weak identification
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Structural change tests based on implied probabilities for gel criteria
- Inference about long run canonical correlations
- Bayesian model averaging for dynamic panels with an application to a trade gravity model
- Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
- On a statistical analysis of implied data
- Robust inference for moment condition models without rational expectations
- An approximated exponentially tilted empirical likelihood estimator of moment condition models
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Point estimation with exponentially tilted empirical likelihood
This page was built for publication: Implied Probabilities in GMM Estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3142748)
