On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
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Cites work
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 3930130 (Why is no real title available?)
- A compendium to information theory in economics and econometrics
- A jackknife interpretation of the continuous updating estimator
- A simplified approach to computing efficiency bounds in semiparametric models
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Applications of Differential Geometry to Econometrics
- Asymptotic efficiency in estimation with conditional moment restrictions
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Econometrics
- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
- Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood estimation and consistent tests with conditional moment restrictions
- Empirical likelihood for linear models
- Empirical likelihood ratio confidence regions
- Generalized Method of Moments With Many Weak Moment Conditions
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Implied Probabilities in GMM Estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Nonparametric Pricing of Interest Rate Derivative Securities
- On the validity of the formal Edgeworth expansion
- One-Step Estimators for Over-Identified Generalized Method of Moments Models
- SAMPLING WITH CONTROL VARIABLES
- The Stochastic Difference Between Econometric Statistics
Cited in
(44)- Robustness of Bootstrap in Instrumental Variable Regression
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Shrinkage of variance for minimum distance based tests
- Score tests in GMM: why use implied probabilities?
- Moment conditions and Bayesian non-parametrics
- Editors' introduction
- Regenerative block empirical likelihood for Markov chains
- Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
- Inference of local regression in the presence of nuisance parameters
- Testing identification strength
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Efficient information theoretic inference for conditional moment restrictions
- An approximated exponentially tilted empirical likelihood estimator of moment condition models
- Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
- Robust estimation with exponentially tilted Hellinger distance
- Estimating the conditional error distribution in non-parametric regression
- Efficient GMM with nearly-weak instruments
- Improved density and distribution function estimation
- Structural change tests based on implied probabilities for gel criteria
- A new class of asymptotically efficient estimators for moment condition models
- Level-specific correction for nonparametric likelihoods
- Finite sample properties of the GMM Anderson-Rubin test
- Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
- GEL criteria for moment condition models
- Nonparametric Option Pricing with Generalized Entropic Estimators
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Inference about long run canonical correlations
- A new class of tests for overidentifying restrictions in moment condition models
- Information Theoretic Approaches to Inference in Moment Condition Models
- Breakdown point theory for implied probability bootstrap
- On standard inference for GMM with local identification failure of known forms
- Empirical likelihood estimators for the error distribution in nonparametric regression models
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
- The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
- Implied Probabilities in GMM Estimators
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Point estimation with exponentially tilted empirical likelihood
- Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory
- A Euclidean Likelihood Estimator for Bivariate Tail Dependence
- Sample out-of-sample inference based on Wasserstein distance
- Assessing misspecified asset pricing models with empirical likelihood estimators
- GEL statistics under weak identification
- Local GMM estimation of time series models with conditional moment restrictions
- Semi-parametric estimation of American option prices
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