Estimation and inference in the case of competing sets of estimating equations

DOI10.1016/j.jeconom.2006.05.007zbMath1418.62479OpenAlexW3124823288MaRDI QIDQ280215

Ron C. Mittelhammer, George G. Judge

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.007

zbMATH Keywords

empirical likelihoodasymptotic and finite sample riskconvex combination of estimatorssemiparametric estimation and inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

Asymptotic equivalence of empirical likelihood and Bayesian MAP ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Combining estimators to improve structural model estimation and inference under quadratic loss
• Goodness-of-fit statistics for discrete multivariate data
• Combined and least squares empirical likelihood
• Empirical likelihood and general estimating equations
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Empirical likelihood as a goodness-of-fit measure
• Information Theoretic Approaches to Inference in Moment Condition Models
• GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS
• An Optimum Property of Regular Maximum Likelihood Estimation
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
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