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

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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Large Sample Properties of Generalized Method of Moments Estimators
Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
Empirical likelihood ratio confidence regions
Empirical likelihood for linear models
On the validity of the formal Edgeworth expansion
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Asymptotic efficiency in estimation with conditional moment restrictions
Empirical likelihood
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Econometrics
The Stochastic Difference Between Econometric Statistics
An Information-Theoretic Alternative to Generalized Method of Moments Estimation
A compendium to information theory in economics and econometrics
Nonparametric Pricing of Interest Rate Derivative Securities
A simplified approach to computing efficiency bounds in semiparametric models
A jackknife interpretation of the continuous updating estimator
Implied Probabilities in GMM Estimators
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 (41)

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA
Editors' introduction
Score tests in GMM: why use implied probabilities?
Regenerative block empirical likelihood for Markov chains
ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS
Inference of local regression in the presence of nuisance parameters
Testing identification strength
Finite sample properties of the GMM Anderson–Rubin test
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
Robust estimation with exponentially tilted Hellinger distance
Estimating the conditional error distribution in non-parametric regression
Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data
Efficient GMM with nearly-weak instruments
Improved density and distribution function estimation
Moment Conditions and Bayesian Non-Parametrics
Level-specific correction for nonparametric likelihoods
A new class of asymptotically efficient estimators for moment condition models
Sample Out-of-Sample Inference Based on Wasserstein Distance
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
Breakdown point theory for implied probability bootstrap
Shrinkage of Variance for Minimum Distance Based Tests
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
GEL CRITERIA FOR MOMENT CONDITION MODELS
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
Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
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
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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