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Gel Estimation and Inference with Non-Smooth Moment Indicators and Dynamic Data

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Gordon Kemp ()
Abstract

In this paper we demonstrate consistency and asymptotic normality for Generalized Empirical Likelihood (GEL) estimation in dynamic models when the moment indicators being used are the non-differentiable functions of the parameters of interest.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp640.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 640.

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Date of creation: 28 Sep 2007
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Handle: RePEc:esx:essedp:640

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