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Gel Methods For Nonsmooth Moment Indicators

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  • Parente, Paulo M.D.C.
  • Smith, Richard J.

Abstract

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in finite samples. These include EL, ET and the CUE. This paper also establishes the validity of tests suggested in the smooth moment indicators case for over-dentifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix which may be problematic for the sample sizes typically encountered in practice.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 27 (2011)
Issue (Month): 01 (February)
Pages: 74-113

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Handle: RePEc:cup:etheor:v:27:y:2011:i:01:p:74-113_00

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Cited by:
  1. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  2. F Bravo, 2008. "Effcient M-estimators with auxiliary information," Discussion Papers 08/26, Department of Economics, University of York.
  3. Feng, Qiang, 2012. "A GEL-based AIC for model selection," Economics Letters, Elsevier, vol. 116(3), pages 637-639.

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