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Empirical likelihood estimation and consistent tests with conditional moment restrictions

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  • Donald, Stephen G.
  • Imbens, Guido W.
  • Newey, Whitney K.

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  • 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.
    • Handle: RePEc:eee:econom:v:117:y:2003:i:1:p:55-93
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
    3. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-345, March.
    4. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    5. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
    6. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December.
    7. Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-837, July.
    8. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-519, March.
    9. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    10. Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
    11. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
    12. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
    13. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
    14. Guido W. Imbens, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 64(3), pages 359-383.
    15. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
    16. Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn, 2004. "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 72(6), pages 1667-1714, November.
    17. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
    18. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
    19. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
    20. de Jong, R.M. & Bierens, H.J., 1994. "On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity," Econometric Theory, Cambridge University Press, vol. 10(1), pages 70-90, March.
    21. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-1070, September.
    22. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    23. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
    24. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
    25. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
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