Finite Sample Properties of the Two-Step Empirical Likelihood Estimator

DOI10.1080/07474930500242987MaRDI QIDQ5697351zbMATH OpenOpenAlexFDO

Authors Patrik Guggenberger, Jinyong Hahn

Publication date 17 October 2005

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930500242987

zbMATH Keywords

empirical likelihood estimatorfinite sample performancehigh order biaslinear simultaneous equations modeltablestwo-step empirical likelihood estimator

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05)

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Cites work

• A New Specification Test for the Validity of Instrumental Variables
• A third-order optimum property of the maximum likelihood estimator
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Information Theoretic Approaches to Inference in Moment Condition Models
• Instrumental Variables Regression with Weak Instruments
• Large Sample Properties of Generalized Method of Moments Estimators
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Some Properties of a Modification of the Limited Information Estimator
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

Cited in

(11)

• Finite sample behavior of two step estimators in selection models
• On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
• Count data models with correlated unobserved heterogeneity
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• The performance of empirical likelihood and its generalizations
• Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
• Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
• Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
• A Frisch-Waugh-Lovell theorem for empirical likelihood
• An approximated exponentially tilted empirical likelihood estimator of moment condition models
• A new class of asymptotically efficient estimators for moment condition models

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