Efficient information theoretic inference for conditional moment restrictions

DOI10.1016/j.jeconom.2006.05.004zbMath1418.62126OpenAlexW2147256154MaRDI QIDQ280207

Richard J. Smith

Publication date: 9 May 2016

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

Full work available at URL: http://hdl.handle.net/10419/79264

zbMATH Keywords

GMMsemiparametric efficiencyconditional moment restrictionslocal Cressie-Read minimum discrepancy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistical aspects of information-theoretic topics (62B10)

Related Items (9)

Generalized empirical likelihood testing in semiparametric conditional moment restrictions models ⋮ Longitudinal data analysis using the conditional empirical likelihood method ⋮ A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS ⋮ Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ Assessing misspecified asset pricing models with empirical likelihood estimators ⋮ Jackknife estimation of stationary autoregressive models ⋮ A new class of asymptotically efficient estimators for moment condition models ⋮ Editors' introduction

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