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On the second-order properties of empirical likelihood with moment restrictions

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  • Chen, Song Xi
  • Cui, Hengjian

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  • 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.
  • Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:492-516
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    References listed on IDEAS

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    1. Hansen, Bruce E & West, Kenneth D, 2002. "Generalized Method of Moments and Macroeconomics," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 460-469, October.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    4. Brown, Bryan W & Newey, Whitney K, 2002. "Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 507-517, October.
    5. 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.
    6. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
    7. Yuichi Kitamura, 2001. "Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions," Econometrica, Econometric Society, vol. 69(6), pages 1661-1672, November.
    8. 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.
    9. Chen, Song Xi & Gao, Jiti, 2007. "An adaptive empirical likelihood test for parametric time series regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 950-972, December.
    10. Andrews, Donald W K, 2002. "Generalized Method of Moments Estimation When a Parameter Is on a Boundary," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 530-544, October.
    11. Guido W. Imbens, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," Review of Economic Studies, Oxford University Press, vol. 64(3), pages 359-383.
    12. Song Xi Chen & Hengjian Cui, 2006. "On Bartlett correction of empirical likelihood in the presence of nuisance parameters," Biometrika, Biometrika Trust, vol. 93(1), pages 215-220, March.
    13. 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.
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    Cited by:

    1. Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong, 2015. "High dimensional generalized empirical likelihood for moment restrictions with dependent data," Journal of Econometrics, Elsevier, vol. 185(1), pages 283-304.
    2. Chen, Song Xi & Gao, Jiti, 2007. "An adaptive empirical likelihood test for parametric time series regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 950-972, December.
    3. Liu, Yukun & Yu, Chi Wai, 2010. "Bartlett correctable two-sample adjusted empirical likelihood," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1701-1711, August.
    4. Whang, Yoon-Jae, 2006. "Smoothed Empirical Likelihood Methods For Quantile Regression Models," Econometric Theory, Cambridge University Press, vol. 22(02), pages 173-205, April.
    5. Yuan, Ao & Xu, Jinfeng & Zheng, Gang, 2014. "On empirical likelihood statistical functions," Journal of Econometrics, Elsevier, vol. 178(P3), pages 613-623.
    6. Tsao, Min & Wu, Fan, 2015. "Two-sample extended empirical likelihood for estimating equations," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 1-15.
    7. Kakizawa, Yoshihide, 2011. "Improved additive adjustments for the LR/ELR test statistics," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1245-1255, August.
    8. Jiayin Zheng & Junshan Shen & Shuyuan He, 2014. "Adjusted empirical likelihood for right censored lifetime data," Statistical Papers, Springer, vol. 55(3), pages 827-839, August.
    9. Song Xi Chen & Jiti Gao, 2010. "Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models," School of Economics Working Papers 2010-28, University of Adelaide, School of Economics.
    10. Tong Tong Wu & Gang Li & Chengyong Tang, 2015. "Empirical Likelihood for Censored Linear Regression and Variable Selection," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(3), pages 798-812, September.
    11. Min Tsao & Fan Wu, 2014. "Extended empirical likelihood for estimating equations," Biometrika, Biometrika Trust, vol. 101(3), pages 703-710.
    12. repec:spr:stmapp:v:26:y:2017:i:4:d:10.1007_s10260-017-0382-2 is not listed on IDEAS
    13. Bin Dong & David E. Matthews, 2012. "Empirical Likelihood for Cumulative Hazard Ratio Estimation with Covariate Adjustment," Biometrics, The International Biometric Society, vol. 68(2), pages 408-418, June.
    14. Chen, Song Xi & Gao, Jiti & Tang, Chenghong, 2005. "A test for model specification of diffusion processes," MPRA Paper 11976, University Library of Munich, Germany, revised Feb 2007.
    15. Giuseppe Ragusa, 2011. "Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 406-456, August.
    16. Zhong, Pingshou & Cui, Hengjian, 2010. "Empirical likelihood for median regression model with designed censoring variables," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 240-251, January.
    17. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
    18. Kakizawa, Yoshihide, 2010. "Comparison of Bartlett-type adjusted tests in the multiparameter case," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1638-1655, August.
    19. Mardi Dungey & Vitali Alexeev & Jing Tian & Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91, pages 1-24, June.

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