Estimation and inference in the case of competing sets of estimating equations

DOI10.1016/J.JECONOM.2006.05.007MaRDI QIDQ280215zbMATH OpenOpenAlexFDO

Authors George G. Judge, Ron C. Mittelhammer

Publication date 9 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.05.007

zbMATH Keywords

empirical likelihoodasymptotic and finite sample riskconvex combination of estimatorssemiparametric estimation and inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 1082203 (Why is no real title available?)
• scientific article; zbMATH DE number 1551462 (Why is no real title available?)
• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss
• An Optimum Property of Regular Maximum Likelihood Estimation
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Combined and least squares empirical likelihood
• Combining estimators to improve structural model estimation and inference under quadratic loss
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood as a goodness-of-fit measure
• Generalized empirical likelihood-based model selection criteria for moment condition models
• Goodness-of-fit statistics for discrete multivariate data
• Information Theoretic Approaches to Inference in Moment Condition Models
• Large Sample Properties of Generalized Method of Moments Estimators

Cited in

(7)

• Asymptotic equivalence of empirical likelihood and Bayesian MAP
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss
• Implications of the Cressie-Read family of additive divergences for information recovery
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• Competitive Statistical Estimation With Strategic Data Sources
• A minimum mean squared error semiparametric combining estimator
• An averaging estimator for two-step m-estimation in semiparametric models

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