Finite Sample Properties of the Two-Step Empirical Likelihood Estimator

DOI10.1080/07474930500242987zbMath1081.62015OpenAlexW2066409530MaRDI QIDQ5697351

Jinyong Hahn, Patrik Guggenberger

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/07474930500242987

zbMATH Keywords

tableslinear simultaneous equations modelfinite sample performanceempirical likelihood estimatorhigh order biastwo-step empirical likelihood estimator

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (6)

Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator ⋮ On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification ⋮ Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators ⋮ A new class of asymptotically efficient estimators for moment condition models ⋮ Count Data Models with Correlated Unobserved Heterogeneity ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A third-order optimum property of the maximum likelihood estimator
• Empirical likelihood and general estimating equations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Empirical likelihood ratio confidence intervals for a single functional
• Some Properties of a Modification of the Limited Information Estimator
• Instrumental Variables Regression with Weak Instruments
• 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
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• A New Specification Test for the Validity of Instrumental Variables
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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