Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias

DOI10.1016/j.spl.2011.04.022zbMath1218.62020OpenAlexW3124944986MaRDI QIDQ553082

Roni Israelov, Steven Lugauer

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.04.022

zbMATH Keywords

empirical likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Cites Work

• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• Adjusted empirical likelihood with high-order precision
• Point estimation with exponentially tilted empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• 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
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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