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)

• Matching posterior and frequentist cumulative distribution functions with empirical-type likelihoods in the multiparameter case
• Size matters: covariance matrix estimation under the alternative
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Moment conditions selection based on adaptive penalized empirical likelihood
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Robust small sample accurate inference in moment condition models
• Statistics of robust optimization: a generalized empirical likelihood approach
• GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
• A split-and-conquer variable selection approach for high-dimensional general semiparametric models with massive data
• Using Empirical Likelihood to Combine Data: Application to Food Risk Assessment
• Averaging of an increasing number of moment condition estimators
• Consistent estimation with many moment inequalities
• GEL estimation and tests of spatial autoregressive models
• Data-dependent probability matching priors for highest posterior density and equal-tailed two-sided regions based on empirical-type likelihoods
• Optimal bandwidth selection for robust generalized method of moments estimation
• Penalized empirical likelihood for semiparametric models with a diverging number of parameters
• A new scope of penalized empirical likelihood with high-dimensional estimating equations
• Improved generalized method of moments estimators for weakly dependent observations
• The Information Geometric Structure of Generalized Empirical Likelihood Estimators
• The asymptotic properties of GMM and indirect inference under second-order identification
• Efficient M-estimators with auxiliary information
• Improved density and distribution function estimation
• Robust empirical likelihood
• Model-free inference for tail risk measures
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
• On oracle property and asymptotic validity of Bayesian generalized method of moments
• The ABC of simulation estimation with auxiliary statistics
• Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response
• Local polynomial estimation of nonparametric general estimating equations
• Bayesian analysis of restricted penalized empirical likelihood
• Hypothesis testing for two population means: parametric or non-parametric test?
• Exponentially tilted likelihood inference on growing dimensional unconditional moment models
• Data Integration with Oracle Use of External Information from Heterogeneous Populations
• Testing with exponentially tilted empirical likelihood
• Exponential tilted likelihood for stationary time series models
• Worst-case estimation for econometric models with unobservable components
• Reduced rank regression with possibly non-smooth criterion functions: an empirical likelihood approach
• Efficient bootstrap with weakly dependent processes
• Specification tests based on MCMC output
• A new class of tests for overidentifying restrictions in moment condition models
• Conditional sure independence screening by conditional marginal empirical likelihood
• New test statistics for hypothesis testing of parameters in conditional moment restriction models
• Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
• Solving dynamic discrete choice models using smoothing and sieve methods
• On the approximate frequentist validity of the posterior quantiles of a parametric function: results based on empirical and related likelihoods
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
• On copula moment: empirical likelihood based estimation method
• Nonparametric assessment of hedge fund performance
• Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
• Generalized empirical likelihood specification test robust to local misspecification
• Local influence analysis for GMM estimation
• Survey weighted estimating equation inference with nuisance functionals
• Sample out-of-sample inference based on Wasserstein distance
• Efficient Robust Regression via Two-Stage Generalized Empirical Likelihood
• Optimally combining censored and uncensored datasets
• 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

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