GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

DOI10.1017/S0266466605050371zbMATH Open1083.62086OpenAlexW2158452489MaRDI QIDQ3377449FDOQ3377449

Authors: Patrik Guggenberger, Richard J. Smith 

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466605050371

Recommendations

• Generalized empirical likelihood tests in time series models with potential identification failure
• GEL statistics under weak identification
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• GMM with Weak Identification
• GEL criteria for moment condition models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Empirical likelihood methods with weakly dependent processes
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• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Empirical likelihood ratio confidence regions
• Instrumental Variables Regression with Weak Instruments
• Generalized method of moments specification testing
• Empirical likelihood and general estimating equations
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Simulation and the Asymptotics of Optimization Estimators
• Empirical likelihood ratio confidence intervals for a single functional
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• GMM with Weak Identification
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The Exact Distribution of LIML: I
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Hypothesis Testing with Efficient Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Efficient Semiparametric Estimation of Expectations

Cited In (44)

• Applications of subsampling, hybrid, and size-correction methods
• Testing for weak identification in possibly nonlinear models
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
• Score tests in GMM: why use implied probabilities?
• Regenerative block empirical likelihood for Markov chains
• Inference of local regression in the presence of nuisance parameters
• Testing identification strength
• Finite sample properties of the GMM Anderson–Rubin test
• Structural change tests for GEL criteria
• INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS
• Efficient GMM with nearly-weak instruments
• Generalized empirical likelihood tests in time series models with potential identification failure
• Bootstrap validity for the score test when instruments may be weak
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
• Improving confidence set estimation when parameters are weakly identified
• The empirical saddlepoint estimator
• GEL criteria for moment condition models
• Two-step generalised empirical likelihood inference for semiparametric models
• Some properties of tests for parameters that can be arbitrarily close to being unidentified
• Robust inference in nonlinear models with mixed identification strength
• Shrinkage of Variance for Minimum Distance Based Tests
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• The validity of instruments revisited
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Tests of additional conditional moment restrictions
• Divergences and duality for estimation and test under moment condition models
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Testing the adequacy of conventional asymptotics in GMM
• Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
• Hypothesis Testing with Efficient Method of Moments Estimation
• Finite-sample corrected inference for two-step GMM in time series
• Optimally combining censored and uncensored datasets
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• GEL statistics under weak identification

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