Information Theoretic Approaches to Inference in Moment Condition Models
From MaRDI portal
Publication:4530910
DOI10.2307/2998561zbMath1055.62512OpenAlexW2108470768WikidataQ60588018 ScholiaQ60588018MaRDI QIDQ4530910
Guido W. Imbens, Phillip E. Johnson, Richard Spady
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0186.pdf
Related Items (only showing first 100 items - show all)
Combining estimators to improve structural model estimation and inference under quadratic loss ⋮ Optimal statistical decisions about some alternative financial models ⋮ Efficient information theoretic inference for conditional moment restrictions ⋮ On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood ⋮ Estimation and inference in the case of competing sets of estimating equations ⋮ Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models ⋮ Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models ⋮ Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Asymptotic equivalence of empirical likelihood and Bayesian MAP ⋮ Nearly-singular design in GMM and generalized empirical likelihood estimators ⋮ Generalized maximum entropy analysis of the linear simultaneous equations model ⋮ The optimal choice of moments in dynamic panel data models ⋮ Optimally combining censored and uncensored datasets ⋮ Choosing instrumental variables in conditional moment restriction models ⋮ Estimation with overidentifying inequality moment conditions ⋮ Generalized empirical likelihood for nonsmooth estimating equations with missing data ⋮ Generalized moment estimation of stochastic differential equations ⋮ An information-theoretic approach to the effective usage of auxiliary information from survey data ⋮ The empirical saddlepoint estimator ⋮ Saddlepoint tests for accurate and robust inference on overdispersed count data ⋮ Tests of additional conditional moment restrictions ⋮ An information-theoretic approach to effective inference for Z-functionals ⋮ Bayesian moment-based inference in a regression model with misclassification error ⋮ Level-specific correction for nonparametric likelihoods ⋮ Maximum entropy analysis of consumption-based capital asset pricing model and volatility ⋮ Robust small sample accurate inference in moment condition models ⋮ Exponentially tilted likelihood inference on growing dimensional unconditional moment models ⋮ Semiparametric inference with a functional-form empirical likelihood ⋮ On the State of the Art of Info-metrics ⋮ A Mann-Whitney test of distributional effects in a multivalued treatment ⋮ An entropic estimator for linear inverse problems ⋮ Information theory estimators for the first-order spatial autoregressive model ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ An MCMC approach to classical estimation. ⋮ Bootstrap consistency for quadratic forms of sample averages with increasing dimension ⋮ Empirical likelihood estimation and consistent tests with conditional moment restrictions ⋮ Density forecast of financial returns using decomposition and maximum entropy ⋮ Empty set problem of maximum empirical likelihood methods ⋮ Two-stage empirical likelihood for longitudinal neuroimaging data ⋮ A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters ⋮ Posterior consistency of nonparametric conditional moment restricted models ⋮ An empirical likelihood method for spatial regression ⋮ A microeconomic interpretation of the maximum entropy estimator of multinomial logit models and its equivalence to the maximum likelihood estimator ⋮ Score tests in GMM: why use implied probabilities? ⋮ Testing with exponentially tilted empirical likelihood ⋮ GEL estimation and tests of spatial autoregressive models ⋮ Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions ⋮ Large deviations of generalized method of moments and empirical likelihood estimators ⋮ Empirical implementation of nonparametric first-price auction models ⋮ GEL statistics under weak identification ⋮ Assessing misspecified asset pricing models with empirical likelihood estimators ⋮ Hodges-Lehmann optimality for testing moment conditions ⋮ Moment condition tests for heavy tailed time series ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Empirical likelihood block bootstrapping ⋮ EL inference for partially identified models: large deviations optimality and bootstrap validity ⋮ Inference functions and quadratic score tests ⋮ Moderate deviations of generalized method of moments and empirical likelihood estimators ⋮ Adjusted empirical likelihood with high-order precision ⋮ The weighted method of moments approach for moment condition models ⋮ Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias ⋮ A finite sample correction for the variance of linear efficient two-step GMM estimators ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Efficient M-estimators with auxiliary information ⋮ Generalized empirical likelihood specification test robust to local misspecification ⋮ Point estimation with exponentially tilted empirical likelihood ⋮ Neglected heterogeneity in moment condition models ⋮ An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification ⋮ On Bahadur efficiency of empirical likelihood ⋮ A new class of asymptotically efficient estimators for moment condition models ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ The data-constrained generalized maximum entropy estimator of the GLM: asymptotic theory and inference ⋮ MOMENT-BASED INFERENCE WITH STRATIFIED DATA ⋮ GEL METHODS FOR NONSMOOTH MOMENT INDICATORS ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD ⋮ Two-step generalised empirical likelihood inference for semiparametric models ⋮ Count Data Models with Correlated Unobserved Heterogeneity ⋮ GEL CRITERIA FOR MOMENT CONDITION MODELS ⋮ An alternative two-step generalized method of moments estimator based on a reduced form model ⋮ Improved density and distribution function estimation ⋮ Moment Conditions and Bayesian Non-Parametrics ⋮ Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators ⋮ On testing overidentifying restrictions in dynamic panel data models ⋮ A generalized maxentropic inversion procedure for noisy data. ⋮ High dimensional generalized empirical likelihood for moment restrictions with dependent data ⋮ Information and entropy econometrics -- editor's view. ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis. ⋮ Confidence intervals in generalized method of moments models ⋮ Generalized empirical likelihood non-nested tests ⋮ Generalized moment based estimation and inference ⋮ Sample selection and information-theoretic alternatives to GMM ⋮ Connections between entropic and linear projections in asset pricing estimation ⋮ Limited information likelihood and Bayesian analysis ⋮ Comparison of maximum entropy and higher-order entropy estimators. ⋮ Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence ⋮ Oracle, multiple robust and multipurpose calibration in a missing response problem ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity ⋮ Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
Uses Software
This page was built for publication: Information Theoretic Approaches to Inference in Moment Condition Models
