Confidence intervals in generalized method of moments models

DOI10.1016/S0304-4076(01)00114-2zbMath1030.62021WikidataQ108879920 ScholiaQ108879920MaRDI QIDQ1858927

Richard Spady, Guido W. Imbens

Publication date: 17 February 2003

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

zbMATH Keywords

confidence intervalshypothesis testinggeneralized method of momentsempirical likelihoodoveridentification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Parametric inference under constraints (62F30)

Related Items (3)

Optimal statistical decisions about some alternative financial models ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ Nonparametric likelihood inference for general autoregressive models

Cites Work

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• Empirical likelihood ratio confidence intervals for a single functional
• Nonparametric standard errors and confidence intervals
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators

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