The empirical saddlepoint estimator
From MaRDI portal
Publication:2154965
DOI10.1214/21-EJS1976MaRDI QIDQ2154965
Benjamin Holcblat, Fallaw B. Sowell
Publication date: 15 July 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.06977
method of momentsweak instrumentsempirical saddlepoint approximationKullback-Leibler divergence criterionvariance penalization
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An extended empirical saddlepoint approximation for intractable likelihoods
- Saddlepoint approximations for continuous-time Markov processes
- Comparative risk aversion: a formal approach with applications to saving behavior
- Saddlepoint approximations in resampling analysis
- On the density of minimum contrast estimators
- Point estimation with exponentially tilted empirical likelihood
- Small sample asymptotic expansions for multivariate M-estimates
- Adjustment by minimum discriminant information
- The second-order bias and mean squared error of nonlinear estimators
- I-divergence geometry of probability distributions and minimization problems
- Large deviation and other results for minimum contrast estimators
- Series approximation methods in statistics
- Empirical likelihood and general estimating equations
- Saddlepoint approximations and tests based on multivariate \(M\)-estimates.
- Asymptotic efficiency in estimation with conditional moment restrictions
- The density of multivariate \(M\)-estimates.
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Robust small sample accurate inference in moment condition models
- Saddlepoint expansions for GEL estimators
- Accurate and robust tests for indirect inference
- On distributions of ratios
- ON THE ASYMPTOTIC EFFICIENCY OF GMM
- Bootstrap bias
- GEL CRITERIA FOR MOMENT CONDITION MODELS
- Bayesian Estimation and Comparison of Moment Condition Models
- On the relationship between empirical likelihood and empirical saddlepoint approximation for multivariate M-estimators
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Rare Disasters and Asset Markets in the Twentieth Century*
- LASSO-TYPE GMM ESTIMATOR
- Saddlepoint Approximations with Applications
- General Saddlepoint Approximations with Applications to L Statistics
- Saddlepoint approximations in resampling methods
- On the empirical saddlepoint approximation
- A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
- Nonparametric standard errors and confidence intervals
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Saddlepoint approximations for regression models
- The modified signed likelihood statistic and saddlepoint approximations
- Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
- Asset Prices in an Exchange Economy
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- One-Step Estimators for Over-Identified Generalized Method of Moments Models
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Information Theoretic Approaches to Inference in Moment Condition Models
- GMM with Weak Identification
- Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
- Credibility of Confidence Sets in Nonstandard Econometric Problems
- On Monotone Recursive Preferences
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Higher-Order Infinitesimal Robustness
- Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
- EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS
- Comments on «Wavelets in statistics: A review» by A. Antoniadis
- Saddlepoint Test in Measurement Error Models
- Regularization and Variable Selection Via the Elastic Net
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Note on the Consistency of the Maximum Likelihood Estimate
- Saddlepoint Approximations in Statistics
This page was built for publication: The empirical saddlepoint estimator
