GEL statistics under weak identification

DOI10.1016/j.jeconom.2012.05.009zbMath1443.62454OpenAlexW2008121724MaRDI QIDQ528051

Joaquim J. S. Ramalho, Patrik Guggenberger, Richard J. Smith

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001212

zbMATH Keywords

weak identificationnonlinear moment conditionsasymptotically pivotal statisticsconditional likelihood ratio statisticgeneralised empirical likelihoodimplied probabilities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Related Items (3)

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models

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