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 InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1783.
Length: 16 pages
Date of creation: Feb 2011
Date of revision:
Publication status: Published in Econometrics Journal (2011), 14(2): 321-329
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Taisuke Otsu, 2011. "Large deviations of generalized method of moments and empirical likelihood estimators," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 321-329, 07.
- 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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