An Information-Theoretic Alternative to Generalized Method of Moments Estimation
From MaRDI portal
Publication:4368516
DOI10.2307/2171942zbMath0894.62011MaRDI QIDQ4368516
Michael J. Stutzer, Yuichi Kitamura
Publication date: 22 June 1998
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171942
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
62B10: Statistical aspects of information-theoretic topics
Related Items
GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS, GMC/GEL estimation of stochastic volatility models, A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS, ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS, Two-step combined nonparametric likelihood estimation of misspecified semiparametric models, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, RELATIVE ERROR ACCURATE STATISTIC BASED ON NONPARAMETRIC LIKELIHOOD, Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach, Shrinkage of Variance for Minimum Distance Based Tests, Robustness of Bootstrap in Instrumental Variable Regression, Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data, Misspecified semiparametric model selection with weakly dependent observations, Estimating utility functions using generalized maximum entropy, Resampling calibrated adjusted empirical likelihood, Semiparametric estimation of moment condition models with weakly dependent data, Efficient Robust Regression via Two-Stage Generalized Empirical Likelihood, ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION, STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA, A Progressive Block Empirical Likelihood Method for Time Series, Frequency domain generalized empirical likelihood method, Size matters: covariance matrix estimation under the alternative, SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS, Finite Sample Properties of the Two-Step Empirical Likelihood Estimator, AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION, On oracle property and asymptotic validity of Bayesian generalized method of moments, Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators, Editors' introduction, Comments on: A review on empirical likelihood methods for regression, Structural change tests for GEL criteria, Foundations of info-metrics: modeling, inference and imperfect information, A new class of tests for overidentifying restrictions in moment condition models, Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data, Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification, Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England, Large deviations of generalized method of moments and empirical likelihood estimators, GEL METHODS FOR NONSMOOTH MOMENT INDICATORS, TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD, Count Data Models with Correlated Unobserved Heterogeneity, GEL CRITERIA FOR MOMENT CONDITION MODELS, Bayesian Estimation and Comparison of Moment Condition Models, Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models, Adjusted Exponentially Tilted Likelihood with Applications to Brain Morphology, Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis, GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION, GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION, OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION, Spatial median depth-based robust adjusted empirical likelihood, Large-Deviations Theory and Empirical Estimator Choice, Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, The Information Geometric Structure of Generalized Empirical Likelihood Estimators, Information-Theoretic Distribution Test with Application to Normality, Oracle, multiple robust and multipurpose calibration in a missing response problem, Optimal statistical decisions about some alternative financial models, 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, Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework, Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models, On the second-order properties of empirical likelihood with moment restrictions, Generalized empirical likelihood tests in time series models with potential identification failure, Nearly-singular design in GMM and generalized empirical likelihood estimators, Generalized maximum entropy analysis of the linear simultaneous equations model, Dynamic quantile models, Maximum entropy autoregressive conditional heteroskedasticity model, Generalized moment estimation of stochastic differential equations, Econometric estimation with high-dimensional moment equalities, Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression, Semiparametric inference with a functional-form empirical likelihood, An entropic estimator for linear inverse problems, Information theory estimators for the first-order spatial autoregressive model, Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood, A review of empirical likelihood methods for time series, Model selection tests for moment inequality models, Expert information and nonparametric Bayesian inference of rare events, GEL statistics under weak identification, Assessing misspecified asset pricing models with empirical likelihood estimators, Estimation for multivariate stable distributions with generalized empirical likelihood, Semi-parametric estimation of American option prices, Empirical likelihood block bootstrapping, Moderate deviations of generalized method of moments and empirical likelihood estimators, Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias, On Bahadur efficiency of empirical likelihood, A new class of asymptotically efficient estimators for moment condition models, Fourth order pseudo maximum likelihood methods, Properties of the CUE estimator and a modification with moments, Testing for non-nested conditional moment restrictions using unconditional empirical likelihood, The data-constrained generalized maximum entropy estimator of the GLM: asymptotic theory and inference, An alternative two-step generalized method of moments estimator based on a reduced form model, Asymptotic equivalence of empirical likelihood and Bayesian MAP, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Bootstrap consistency for quadratic forms of sample averages with increasing dimension, Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system, Adjusted empirical likelihood with high-order precision, Point estimation with exponentially tilted empirical likelihood, Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations, Empirical likelihood-based evaluations of value at risk models, Improved instrumental variables and generalized method of moments estimators, An MCMC approach to classical estimation., Portfolio choice with endogenous utility: a large deviations approach., Empirical likelihood estimation and consistent tests with conditional moment restrictions, Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators, Saddlepoint tests for accurate and robust inference on overdispersed count data, Optimal hedging via large deviation, Testing with exponentially tilted empirical likelihood, GEL estimation and tests of spatial autoregressive models, Inference functions and quadratic score tests, Generalized empirical likelihood specification test robust to local misspecification, Information and entropy econometrics -- editor's view., The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis., Confidence intervals in generalized method of moments models, Generalized empirical likelihood non-nested tests, Generalized moment based estimation and inference, Sample selection and information-theoretic alternatives to GMM, Connections between entropic and linear projections in asset pricing estimation, Limited information likelihood and Bayesian analysis, Comparison of maximum entropy and higher-order entropy estimators., Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence, Robust small sample accurate inference in moment condition models, Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence, Empty set problem of maximum empirical likelihood methods, Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models, Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models, Robust empirical likelihood, Generalized empirical likelihood for nonsmooth estimating equations with missing data, The empirical saddlepoint estimator, Penalized generalized empirical likelihood with a diverging number of general estimating equations for censored data, A Mann-Whitney test of distributional effects in a multivalued treatment, Score tests in GMM: why use implied probabilities?, Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors, Calibration estimation of semiparametric copula models with data missing at random, Nonparametric assessment of hedge fund performance, Robust causality test of infinite variance processes, Improved density and distribution function estimation, High dimensional generalized empirical likelihood for moment restrictions with dependent data, Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity, Tests of additional conditional moment restrictions, Bayesian moment-based inference in a regression model with misclassification error, Penalized generalized empirical likelihood in high-dimensional weakly dependent data, Theory-coherent forecasting, Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics, Neglected heterogeneity in moment condition models, An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification, The optimal choice of moments in dynamic panel data models, Choosing instrumental variables in conditional moment restriction models, Estimation with overidentifying inequality moment conditions, Maximum entropy analysis of consumption-based capital asset pricing model and volatility, Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models, EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS, ON THE ASYMPTOTIC EFFICIENCY OF GMM, On the State of the Art of Info-metrics, Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
