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

DOI10.1017/S0266466605050371MaRDI QIDQ3377449zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Generalized empirical likelihood tests in time series models with potential identification failure
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Cites work

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

Cited in

(49)

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

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