Advanced Search
MyIDEAS: Login

Citations for "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models"

by Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
  2. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
  3. Yuan, Xiaohui & Liu, Tianqing & Lin, Nan & Zhang, Baoxue, 2010. "Combining conditional and unconditional moment restrictions with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2420-2433, November.
  4. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
  5. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
  6. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
  7. Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Cowles Foundation Discussion Papers 1731, Cowles Foundation for Research in Economics, Yale University.
  8. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
  9. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation for Research in Economics, Yale University.
  10. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
  11. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  12. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
  13. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  14. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
  15. Chen, Song Xi & Cui, Hengjian, 2007. "On the second-order properties of empirical likelihood with moment restrictions," Journal of Econometrics, Elsevier, vol. 141(2), pages 492-516, December.
  16. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
  17. Moon, Hyungsik Roger & Schorfheide, Frank, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.
  18. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
  19. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  20. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
  21. Naoto Kunitomo & Yukitoshi Matsushita, 2009. "Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations," CIRJE F-Series CIRJE-F-611, CIRJE, Faculty of Economics, University of Tokyo.
  22. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  23. Kotchoni, Rachidi, 2014. "The indirect continuous-GMM estimation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 464-488.
  24. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
  25. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  26. Gospodinov, Nikolay & Otsu, Taisuke, 2012. "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
  27. Yuan, Ao & Xu, Jinfeng & Zheng, Gang, 2014. "On empirical likelihood statistical functions," Journal of Econometrics, Elsevier, vol. 178(P3), pages 613-623.
  28. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  29. Chen, Ziqi & Shi, Ning-Zhong & Gao, Wei & Tang, Man-Lai, 2011. "Efficient semiparametric estimation via Cholesky decomposition for longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3344-3354, December.
  30. Chen, Songxi & Peng, Liang & Yu, Cindy, 2013. "Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions," MPRA Paper 46273, University Library of Munich, Germany.
  31. Zhu, Lixing & Lin, Lu & Cui, Xia & Li, Gaorong, 2010. "Bias-corrected empirical likelihood in a multi-link semiparametric model," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 850-868, April.
  32. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
  33. Wang, Yafeng & Graham, Brett, 2010. "Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information," MPRA Paper 23153, University Library of Munich, Germany.
  34. Philip Kostov, 2013. "Empirical likelihood estimation of the spatial quantile regression," Journal of Geographical Systems, Springer, vol. 15(1), pages 51-69, January.
  35. Komunjer, Ivana & Ragusa, Giuseppe, 2009. "Existence and Uniqueness of Semiparametric Projections," University of California at San Diego, Economics Working Paper Series qt0wg3j51c, Department of Economics, UC San Diego.
  36. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  37. Naoto Kunitomo & Takashi Owada, 2004. "Empirical Likelihood Estimation of Levy Processes (Revised in March 2005)," CARF F-Series CARF-F-002, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  38. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
  39. Wen-Tai Hsu & Tomoya Mori & Tony E. Smith, 2014. "Spatial Patterns and Size Distributions of Cities," KIER Working Papers 882, Kyoto University, Institute of Economic Research.
  40. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
  41. Kiwitt, Sebastian & Nagel, Eva-Renate & Neumeyer, Natalie, 2005. "Empirical likelihood estimators for the error distribution in nonparametric regression models," Technical Reports 2005,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  42. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 361-411, September.
  43. Otsu, Taisuke, 2007. "Penalized empirical likelihood estimation of semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1923-1954, November.