GEL CRITERIA FOR MOMENT CONDITION MODELS

DOI10.1017/S026646661100003XzbMath1228.62040OpenAlexW1503665802MaRDI QIDQ3108566

Richard J. Smith

Publication date: 4 January 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661100003x

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (20)

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ The empirical saddlepoint estimator ⋮ Tests of additional conditional moment restrictions ⋮ Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ Inference of local regression in the presence of nuisance parameters ⋮ Frequency domain generalized empirical likelihood method ⋮ GEL statistics under weak identification ⋮ Generalized empirical likelihood specification test robust to local misspecification ⋮ Neglected heterogeneity in moment condition models ⋮ Improved density and distribution function estimation ⋮ Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models ⋮ Structural change tests for GEL criteria ⋮ A new class of tests for overidentifying restrictions in moment condition models ⋮ Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data ⋮ Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England ⋮ Semiparametric estimation of moment condition models with weakly dependent data

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