Large deviations of generalized method of moments and empirical likelihood estimators
AbstractThis paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal Econometrics Journal.
Volume (Year): 14 (2011)
Issue (Month): 2 (07)
Other versions of this item:
- Taisuke Otsu, 2011. "Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators," Cowles Foundation Discussion Papers 1783, Cowles Foundation for Research in Economics, Yale University.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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