Exponentially tilted likelihood inference on growing dimensional unconditional moment models

DOI10.1016/J.JECONOM.2017.08.018zbMATH Open1378.62013arXiv1612.08246OpenAlexW2566462634MaRDI QIDQ1680189FDOQ1680189

Authors: Xiao-Dong Yan, N. S. Tang, Pu-Ying Zhao 

Publication date: 23 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: Growing-dimensional data with likelihood unavailable are often encountered in various fields. This paper presents a penalized exponentially tilted likelihood (PETL) for variable selection and parameter estimation for growing dimensional unconditional moment models in the presence of correlation among variables and model misspecifica- tion. Under some regularity conditions, we investigate the consistent and oracle proper- ties of the PETL estimators of parameters, and show that the constrainedly PETL ratio statistic for testing contrast hypothesis asymptotically follows the central chi-squared distribution. Theoretical results reveal that the PETL approach is robust to model mis- specification. We also study high-order asymptotic properties of the proposed PETL estimators. Simulation studies are conducted to investigate the finite performance of the proposed methodologies. An example from the Boston Housing Study is illustrated.

Full work available at URL: https://arxiv.org/abs/1612.08246

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zbMATH Keywords

parameter estimationvariable selectionmodel misspecificationgrowing-dimensional data analysismoment unconditional modelspenalized exponentially tilted likelihood

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Applications of statistics to social sciences (62P25)

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Cited In (5)

• Feature screening in ultrahigh-dimensional partially linear models with missing responses at random
• Testing with exponentially tilted empirical likelihood
• Exponential tilted likelihood for stationary time series models
• Statistical inference for nonignorable missing-data problems: a selective review
• Point estimation with exponentially tilted empirical likelihood

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