Generalized Moment Based Estimation and Inference
AbstractWe extend the empirical likelihood method of estimation and inference proposed by Owen and others and demonstrate how it may be used in a general linear model context and to mitigate the impact of an ill-conditioned design matrix. A dual loss information theoretic estimating function is used along with extended moment conditions to yield a data based estimator that has the usual consistency and asymptotic normality results. Limiting chi-square distributions may be used to obtain hypothesis test or confidence intervals. The estimator appears to have excellent finite sample properties under a squared error loss measure.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0073.
Date of creation: 01 Aug 2000
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