Moderate Deviations of Generalized Method of Moments and Empirical Likelihood Estimators
AbstractThis paper studies moderate deviation behaviors of the generalized method of moments and generalized empirical likelihood estimators for generalized estimating equations, where the number of equations can be larger than the number of unknown parameters. We consider two cases for the data generating probability measure: the model assumption and local contaminations or deviations from the model assumption. For both cases, we characterize the first-order terms of the moderate deviation error probabilities of these estimators. Our moderate deviation analysis complements the existing literature of the local asymptotic analysis and misspecification analysis for estimating equations, and is useful to evaluate power and robust properties of statistical tests for estimating equations which typically involve some estimators for nuisance parameters.
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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 1785.
Length: 22 pages
Date of creation: Feb 2011
Date of revision:
Publication status: Published in Journal of Multivariate Analysis (2011), 102(8): 1203-1216
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Otsu, Taisuke, 2011. "Moderate deviations of generalized method of moments and empirical likelihood estimators," Journal of Multivariate Analysis, Elsevier, vol. 102(8), pages 1203-1216, September.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-ECM-2011-03-05 (Econometrics)
- NEP-MIC-2011-03-05 (Microeconomics)
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