Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

DOI10.1111/J.1468-0262.2004.00482.XzbMATH Open1151.62313OpenAlexW2100169259MaRDI QIDQ5473012FDOQ5473012

Authors: Whitney Newey, Richard J. Smith 

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/79360

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cited In (only showing first 100 items - show all)

• Edgeworth expansions for GEL estimators
• Empirical likelihood block bootstrapping
• Second-order asymptotic theory for calibration estimators in sampling and missing-data problems
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Regenerative block empirical likelihood for Markov chains
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
• The Third-Order Bias of Nonlinear Estimators
• Testing for nonnested conditional moment restrictions via conditional empirical likelihood
• Adjusted empirical likelihood estimation of distribution function and quantile with nonignorable missing data
• Adjusted Exponentially Tilted Likelihood with Applications to Brain Morphology
• Simultaneous estimation and inference for multiple response variables
• Second order bias of quasi-MLE for covariance structure models
• Bootstrap bias-adjusted GMM estimators
• Mean empirical likelihood
• Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
• Posterior consistency of nonparametric conditional moment restricted models
• Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
• 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
• Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
• Generalized Neyman-Pearson optimality of empirical likelihood for testing parameter hypotheses
• Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
• Confidence intervals based on empirical statistics: existence of a probability matching prior and connection with frequentist Bartlett adjustability
• Two-step generalised empirical likelihood inference for semiparametric models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Empirical likelihood estimation of conditional moment restriction models with unknown functions
• A cluster-sample approach for Monte Carlo integration using multiple samplers
• Asymptotic results on a general class of empirical statistics: Power and confidence interval properties
• Large-Deviations Theory and Empirical Estimator Choice
• Adjusted empirical likelihood for right censored lifetime data
• An alternative two-step generalized method of moments estimator based on a reduced form model
• Empirical likelihood based on synthetic right censored data
• Nonparametric likelihood and doubly robust estimating equations for marginal and nested structural models
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
• Efficient estimation for longitudinal data by combining large-dimensional moment conditions
• Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
• Large deviations of generalized method of moments and empirical likelihood estimators
• A regularization approach to the many instruments problem
• Estimation for multivariate stable distributions with generalized empirical likelihood
• Kernel-weighted GMM estimators for linear time series models
• Empirical and conditional likelihoods for two‐phase studies
• Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
• ECF estimation of Markov models where the transition density is unknown
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• Higher-order properties of approximate estimators
• Assessing misspecified asset pricing models with empirical likelihood estimators
• GEL statistics under weak identification
• Hodges-Lehmann optimality for testing moment conditions
• Local GMM estimation of time series models with conditional moment restrictions
• Optimal comparison of misspecified moment restriction models under a chosen measure of fit
• Efficient estimation using the characteristic function
• Frequency domain generalized empirical likelihood method
• Generalized method of trimmed moments
• Estimation of dynamic panel data models with a lot of heterogeneity
• Semiparametric inference with a functional-form empirical likelihood
• Combining estimators to improve structural model estimation and inference under quadratic loss
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• Choosing instrumental variables in conditional moment restriction models
• Simple and trustworthy cluster-robust GMM inference
• High dimensional semiparametric moment restriction models
• An estimation method for the Neyman chi-square divergence with application to test of hypoth\-e\-ses
• Expert information and nonparametric Bayesian inference of rare events
• 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
• Bayesian semiparametric hierarchical empirical likelihood spatial models
• Impulse response matching estimators for DSGE models
• Two-stage empirical likelihood for longitudinal neuroimaging data
• Marginal empirical likelihood and sure independence feature screening
• Efficient GMM with nearly-weak instruments
• The second-order bias and mean squared error of estimators in time-series models
• A review of empirical likelihood methods for time series
• On the second-order properties of empirical likelihood with moment restrictions
• The optimal choice of moments in dynamic panel data models
• Generalized empirical likelihood tests in time series models with potential identification failure
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• The performance of empirical likelihood and its generalizations
• A further study of the multiply robust estimator in missing data analysis
• Almost sure hypothesis testing and a resolution of the Jeffreys-Lindley paradox
• CUE with many weak instruments and nearly singular design
• Efficient estimation in dynamic conditional quantile models
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Generalized moment estimation of stochastic differential equations
• Econometric estimation with high-dimensional moment equalities
• Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Empirical \(\varphi^\ast\)-divergence minimizers for Hadamard differentiable functionals
• EL inference for partially identified models: large deviations optimality and bootstrap validity
• Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters
• Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods
• GEL criteria for moment condition models
• On Bahadur efficiency of empirical likelihood
• Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
• A note on generalized empirical likelihood estimation of semiparametric conditional moment restriction models
• Breakdown point theory for implied probability bootstrap
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• The rationality of expectations formation

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