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Exponentially tilted likelihood inference on growing dimensional unconditional moment models

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  • Tang, Niansheng
  • Yan, Xiaodong
  • Zhao, Puying

Abstract

Growing-dimensional data with likelihood function unavailable are often encountered in various fields. This paper presents a penalized exponentially tilted (PET) likelihood for variable selection and parameter estimation for growing dimensional unconditional moment models in the presence of correlation among variables and model misspecification. Under some regularity conditions, we investigate the consistent and oracle properties of the PET estimators of parameters, and show that the constrained PET likelihood ratio statistic for testing contrast hypothesis asymptotically follows the chi-squared distribution. Theoretical results reveal that the PET likelihood approach is robust to model misspecification. We study high-order asymptotic properties of the proposed PET estimators. Simulation studies are conducted to investigate the finite performance of the proposed methodologies. An example from the Boston Housing Study is illustrated.

Suggested Citation

  • Tang, Niansheng & Yan, Xiaodong & Zhao, Puying, 2018. "Exponentially tilted likelihood inference on growing dimensional unconditional moment models," Journal of Econometrics, Elsevier, vol. 202(1), pages 57-74.
    • Handle: RePEc:eee:econom:v:202:y:2018:i:1:p:57-74
    DOI: 10.1016/j.jeconom.2017.08.018
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