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Recent Developments in Empirical Likelihood and Related Methods

Author

Listed:
  • Paulo M.D.C. Parente

    (Department of Economics, University of Exeter, Exeter EX4 4ST, United Kingdom
    Centre for Research in Microeconomics, Faculty of Economics, University of Cambridge, Cambridge CB3 9DD, United Kingdom)

  • Richard J. Smith

    (Centre for Microdata Methods and Practice, University College London, and Institute of Fiscal Studies, London WC1E 7AE, United Kingdom
    Faculty of Economics, University of Cambridge, Cambridge CB3 9DD, United Kingdom)

Abstract

This article reviews a number of recent contributions to estimation and inference for models defined by moment condition restrictions. The particular emphasis is on the generalized empirical likelihood class of estimators as an alternative to the generalized method of moments. Estimation methods for parameters defined through moment restrictions and their properties are described with tests of overidentifying moment restrictions and parametric hypotheses. Computational issues are discussed together with some proposals for their amelioration. Higher-order and other properties are also addressed in some detail. Models specified by conditional moment restriction models are considered, and the adaptation of these methods to weakly dependent data is discussed.

Suggested Citation

  • Paulo M.D.C. Parente & Richard J. Smith, 2014. "Recent Developments in Empirical Likelihood and Related Methods," Annual Review of Economics, Annual Reviews, vol. 6(1), pages 77-102, August.
    • Handle: RePEc:anr:reveco:v:6:y:2014:p:77-102
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    File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev-economics-080511-110925
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    Citations

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    Cited by:

    1. Xiaohong Chen & Yin Jia Jeff Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
    2. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    3. Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell, 2018. "Coverage Error Optimal Confidence Intervals for Local Polynomial Regression," Papers 1808.01398, arXiv.org, revised Jul 2021.
    4. repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS

    More about this item

    Keywords

    moment conditions; GMM; minimum discrepancy; generalized minimum contrast; generalized empirical likelihood;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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