On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood

DOI10.1016/J.JECONOM.2006.05.005zbMATH Open1418.62101OpenAlexW2121240622MaRDI QIDQ280210FDOQ280210

Authors: Bertille Antoine, Hélène Bonnal, Eric Renault 

Publication date: 9 May 2016

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

Full work available at URL: https://depot.erudit.org/id/000906dd

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zbMATH Keywords

control variatesgeneralized method of momentsempirical likelihoodcontinuous updatinginformation-based inference

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Cites Work

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• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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• On the validity of the formal Edgeworth expansion
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• Information Theoretic Approaches to Inference in Moment Condition Models
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• Nonparametric Pricing of Interest Rate Derivative Securities
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• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Applications of Differential Geometry to Econometrics
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• SAMPLING WITH CONTROL VARIABLES

Cited In (43)

• Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
• Shrinkage of variance for minimum distance based tests
• Editors' introduction
• Moment conditions and Bayesian non-parametrics
• Score tests in GMM: why use implied probabilities?
• 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
• Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
• Efficient information theoretic inference for conditional moment restrictions
• 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
• Level-specific correction for nonparametric likelihoods
• A new class of asymptotically efficient estimators for moment condition models
• Finite sample properties of the GMM Anderson-Rubin test
• Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
• Nonparametric Option Pricing with Generalized Entropic Estimators
• GEL criteria for moment condition models
• 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
• Implied Probabilities in GMM Estimators
• The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
• 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
• Robustness of Bootstrap in Instrumental Variable Regression
• 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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