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
• 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

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