Optimal comparison of misspecified moment restriction models under a chosen measure of fit
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Cites work
- scientific article; zbMATH DE number 1054339 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- A function space large deviation principle for certain stochastic integrals
- A generalization of the ``maximum theorem
- Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
- Asymptotically Optimal Tests for Multinomial Distributions
- Connections between entropic and linear projections in asset pricing estimation
- Empirical likelihood and general estimating equations
- Empirical likelihood methods in econometrics: theory and practice
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood ratio confidence intervals for a single functional
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Generalized empirical likelihood non-nested tests
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- Large Sample Properties of Generalized Method of Moments Estimators
- Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Maximum Likelihood Estimation of Misspecified Models
- Methodology and Algorithms of Empirical Likelihood
- Misspecified models with dependent observations
- Model selection tests for nonlinear dynamic models
- Model specification tests against non-nested alternatives
- Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
- Nonnested testing in models estimated via generalized method of moments
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- On the asymptotic optimality of empirical likelihood for testing moment restrictions
- On the behavior of inconsistent instrumental variable estimators
- On universal hypotheses testing via large deviations
- Several Tests for Model Specification in the Presence of Alternative Hypotheses
- Testing for nonnested conditional moment restrictions via conditional empirical likelihood
- Testing nonnested Euler conditions with quadrature-based methods of approximation
- The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
- The large sample behaviour of the generalized method of moments estimator in misspecified models
Cited in
(4)- Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Testing firm conduct
- Comparison of misspecified calibrated models: the minimum distance approach
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