Implied Probabilities in GMM Estimators

DOI10.2307/2951771zbMath0785.62031OpenAlexW2040716687MaRDI QIDQ3142748

David P. Brown, Kerry Back

Publication date: 20 December 1993

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951771

zbMATH Keywords

generalized method of moments estimatormoment restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05)

Related Items (27)

Efficient information theoretic inference for conditional moment restrictions ⋮ On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood ⋮ Breakdown point theory for implied probability bootstrap ⋮ The role of beliefs in inference for rational expectations models ⋮ REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Robustness of Bootstrap in Instrumental Variable Regression ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ The Information Geometric Structure of Generalized Empirical Likelihood Estimators ⋮ Score tests in GMM: why use implied probabilities? ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS ⋮ Inference about long run canonical correlations ⋮ Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ⋮ Unnamed Item ⋮ GEL statistics under weak identification ⋮ Assessing misspecified asset pricing models with empirical likelihood estimators ⋮ Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ Neglected heterogeneity in moment condition models ⋮ GEL CRITERIA FOR MOMENT CONDITION MODELS ⋮ Improved density and distribution function estimation ⋮ Improved generalized method of moments estimators for weakly dependent observations ⋮ Bayesian model averaging for dynamic panels with an application to a trade gravity model ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis. ⋮ Generalized empirical likelihood non-nested tests ⋮ Sample selection and information-theoretic alternatives to GMM

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