Hodges-Lehmann optimality for testing moment conditions

DOI10.1016/J.JECONOM.2012.06.014MaRDI QIDQ528073zbMATH OpenOpenAlexFDO

Authors Ivan A. Canay, Taisuke Otsu

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612001728

zbMATH Keywords

generalized method of momentslarge deviationsgeneralized empirical likelihoodasymptotic optimalitymoment condition

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• Asymptotic Statistics
• EL inference for partially identified models: large deviations optimality and bootstrap validity
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• Empirical likelihood ratio confidence intervals for a single functional
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Hodges-Lehmann optimality of tests
• Information Theoretic Approaches to Inference in Moment Condition Models
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• On Bahadur efficiency of empirical likelihood
• On asymptotically optimal tests
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• Point estimation with exponentially tilted empirical likelihood
• Stochastic Comparison of Tests
• The Danger of Extrapolating Asymptotic Local Power
• The Efficiency of Some Nonparametric Competitors of the $t$-Test

Cited in

(6)

• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• Hodges-Lehmann optimality of tests
• EL inference for partially identified models: large deviations optimality and bootstrap validity
• On Bahadur efficiency of empirical likelihood
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• Bahadur intercept with applications to one-sided testing

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