Efficient information theoretic inference for conditional moment restrictions
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Publication:280207
DOI10.1016/J.JECONOM.2006.05.004zbMATH Open1418.62126OpenAlexW2147256154MaRDI QIDQ280207FDOQ280207
Publication date: 9 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/79264
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- A simple derivation of the efficiency bound for conditional moment restriction models
Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)
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Cited In (18)
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Asymptotic efficiency in estimation with conditional moment restrictions
- Editors' introduction
- Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
- A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS
- Empirical Cressie-Read statistics and generalized method of moments estimation
- Generalized moment based estimation and inference
- A new class of asymptotically efficient estimators for moment condition models
- Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
- An information-theoretic approach to effective inference for Z-functionals
- Information Theoretic Approaches to Inference in Moment Condition Models
- Efficient Semiparametric Estimation via Moment Restrictions
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory
- Longitudinal data analysis using the conditional empirical likelihood method
- Jackknife estimation of stationary autoregressive models
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Local GMM estimation of time series models with conditional moment restrictions
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