Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
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Publication:3518461
DOI10.1080/07474930801960410zbMATH Open1140.62025OpenAlexW2068823148MaRDI QIDQ3518461FDOQ3518461
Authors: Patrik Guggenberger 
Publication date: 8 August 2008
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930801960410
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Title not available (Why is that?)
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
- Information Theoretic Approaches to Inference in Moment Condition Models
- A New Specification Test for the Validity of Instrumental Variables
- Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
- Some Properties of a Modification of the Limited Information Estimator
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- The Existence of Moments of k-Class Estimators
- One-Step Estimators for Over-Identified Generalized Method of Moments Models
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
- Estimators without moments. The case of the reciprocal of a normal mean
- Title not available (Why is that?)
Cited In (23)
- Count data models with correlated unobserved heterogeneity
- Optimal sampling frequency for high frequency data using a finite mixture model
- Edgeworth expansions for GEL estimators
- A fast iterated bootstrap procedure for approximating the small-sample bias
- Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
- Structural change tests for GEL criteria
- Optimal bandwidth selection for robust generalized method of moments estimation
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- The performance of empirical likelihood and its generalizations
- A new class of asymptotically efficient estimators for moment condition models
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
- Finite sample properties of the GMM Anderson-Rubin test
- On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
- Regularized LIML for many instruments
- Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- A new class of tests for overidentifying restrictions in moment condition models
- Information Theoretic and Entropy Methods: An Overview
- On the finite-sample properties of conditional empirical likelihood estimators
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Finite-sample corrected inference for two-step GMM in time series
- Sample out-of-sample inference based on Wasserstein distance
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