Information Theoretic Approaches to Inference in Moment Condition Models
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Cited in
(only showing first 100 items - show all)- Two-step generalised empirical likelihood inference for semiparametric models
- An MCMC approach to classical estimation.
- 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
- Exponentially tilted likelihood inference on growing dimensional unconditional moment models
- 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
- On testing overidentifying restrictions in dynamic panel data models
- A generalized maxentropic inversion procedure for noisy data.
- 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
- 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
- Generalized empirical likelihood for nonsmooth estimating equations with missing data
- The empirical saddlepoint estimator
- A Mann-Whitney test of distributional effects in a multivalued treatment
- Score tests in GMM: why use implied probabilities?
- 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
- A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
- 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
- Optimally combining censored and uncensored datasets
- Choosing instrumental variables in conditional moment restriction models
- Estimation with overidentifying inequality moment conditions
- Combining estimators to improve structural model estimation and inference under quadratic loss
- An information-theoretic approach to effective inference for Z-functionals
- 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
- Estimation and inference in the case of competing sets of estimating equations
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- Generalized empirical likelihood tests in time series models with potential identification failure
- Level-specific correction for nonparametric likelihoods
- 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
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- Large deviations of generalized method of moments and empirical likelihood estimators
- MOMENT-BASED INFERENCE WITH STRATIFIED DATA
- 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
- Moment conditions and Bayesian non-parametrics
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- Adjusted Exponentially Tilted Likelihood with Applications to Brain Morphology
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Optimal bandwidth selection for robust generalized method of moments estimation
- Large-Deviations Theory and Empirical Estimator Choice
- Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
- A Class of Improved Parametrically Guided Nonparametric Regression Estimators
- The Information Geometric Structure of Generalized Empirical Likelihood Estimators
- Generalized Linear Models Incorporating Population Level Information: An Empirical-Likelihood-Based Approach
- 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
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Posterior consistency of nonparametric conditional moment restricted models
- An empirical likelihood method for spatial regression
- 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
- RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
- ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
- Inference for misspecified models with fixed regressors
- Relative error accurate statistic based on nonparametric likelihood
- scientific article; zbMATH DE number 7626743 (Why is no real title available?)
- Shrinkage of variance for minimum distance based tests
- Robustness of Bootstrap in Instrumental Variable Regression
- Oracle GMM estimation for misspecified models via thresholding
- Empirical implementation of nonparametric first-price auction models
- GEL statistics under weak identification
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Hodges-Lehmann optimality for testing moment conditions
- Moment condition tests for heavy tailed time series
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