GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

DOI10.1017/S0266466605050371zbMath1083.62086OpenAlexW2158452489MaRDI QIDQ3377449

Richard J. Smith, Patrik Guggenberger

Publication date: 22 March 2006

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

Full work available at URL: https://doi.org/10.1017/s0266466605050371

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (40)

Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Nearly-singular design in GMM and generalized empirical likelihood estimators ⋮ Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities ⋮ Optimally combining censored and uncensored datasets ⋮ Bootstrap validity for the score test when instruments may be weak ⋮ Improving confidence set estimation when parameters are weakly identified ⋮ VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES ⋮ Some properties of tests for parameters that can be arbitrarily close to being unidentified ⋮ The empirical saddlepoint estimator ⋮ Tests of additional conditional moment restrictions ⋮ Shrinkage of Variance for Minimum Distance Based Tests ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator ⋮ Finite-sample corrected inference for two-step GMM in time series ⋮ Divergences and duality for estimation and test under moment condition models ⋮ Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information ⋮ Score tests in GMM: why use implied probabilities? ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Testing identification strength ⋮ Inference of local regression in the presence of nuisance parameters ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ⋮ GEL statistics under weak identification ⋮ Testing for weak identification in possibly nonlinear models ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ The validity of instruments revisited ⋮ GEL METHODS FOR NONSMOOTH MOMENT INDICATORS ⋮ Two-step generalised empirical likelihood inference for semiparametric models ⋮ Efficient GMM with nearly-weak instruments ⋮ Regenerative block empirical likelihood for Markov chains ⋮ GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Structural change tests for GEL criteria ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Empirical likelihood methods with weakly dependent processes
• Empirical likelihood ratio confidence regions
• Generalized method of moments specification testing
• Empirical likelihood and general estimating equations
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Simulation and the Asymptotics of Optimization Estimators
• Empirical likelihood ratio confidence intervals for a single functional
• The Exact Distribution of LIML: I
• Hypothesis Testing with Efficient Method of Moments Estimation
• Instrumental Variables Regression with Weak Instruments
• 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
• Information Theoretic Approaches to Inference in Moment Condition Models
• Efficient Semiparametric Estimation of Expectations
• GMM with Weak Identification
• A Conditional Likelihood Ratio Test for Structural Models
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

This page was built for publication: GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION