Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
From MaRDI portal
Publication:4531047
DOI10.1111/1468-0262.00261zbMath0999.62012OpenAlexW3125202491MaRDI QIDQ4531047
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1468-0262.00261
Applications of statistics to economics (62P20) Parametric inference under constraints (62F30) Large deviations (60F10) Asymptotic properties of parametric tests (62F05)
Related Items (44)
Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics ⋮ Efficient information theoretic inference for conditional moment restrictions ⋮ Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ On the second-order properties of empirical likelihood with moment restrictions ⋮ Optimally combining censored and uncensored datasets ⋮ Estimation with overidentifying inequality moment conditions ⋮ Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Econometric estimation with high-dimensional moment equalities ⋮ The empirical saddlepoint estimator ⋮ Empirical likelihood inference for semi-parametric estimating equations ⋮ Empirical likelihood based goodness-of-fit testing for generalized linear mixed models ⋮ Semiparametric regression using empirical likelihood with shape information ⋮ Generalized Neyman-Pearson optimality of empirical likelihood for testing parameter hypotheses ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Divergences and duality for estimation and test under moment condition models ⋮ A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters ⋮ Testing conditional moment restrictions ⋮ Testing conditional independence via empirical likelihood ⋮ Jackknife empirical likelihood for inequality constraints on regular functionals ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Inference of local regression in the presence of nuisance parameters ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ GEL estimation and tests of spatial autoregressive models ⋮ Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ⋮ Optimal comparison of misspecified moment restriction models under a chosen measure of fit ⋮ Hodges-Lehmann optimality for testing moment conditions ⋮ EL inference for partially identified models: large deviations optimality and bootstrap validity ⋮ Empirical Likelihood for First-order Autoregressive Error-in-variable of Models With Validation Data ⋮ SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS ⋮ SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ On empirical likelihood statistical functions ⋮ Empirical likelihood estimators for the error distribution in nonparametric regression models ⋮ On Bahadur efficiency of empirical likelihood ⋮ MOMENT-BASED INFERENCE WITH STRATIFIED DATA ⋮ GEL METHODS FOR NONSMOOTH MOMENT INDICATORS ⋮ EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS ⋮ Empirical Likelihood for Efficient Semiparametric Average Treatment Effects ⋮ Bahadur intercept with applications to one-sided testing ⋮ EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS ⋮ EMPIRICAL LIKELIHOOD FOR GARCH MODELS ⋮ SECOND-ORDER REFINEMENT OF EMPIRICAL LIKELIHOOD FOR TESTING OVERIDENTIFYING RESTRICTIONS ⋮ Self-concordance for empirical likelihood ⋮ Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
This page was built for publication: Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions