IDEAS home Printed from
   My bibliography  Save this paper

Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators



This paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data generating probability measure: the model assumption and local deviations from the model assumption. For both cases, we derive conditions where these estimators have exponentially small error probabilities for point estimation.

Suggested Citation

  • Taisuke Otsu, 2011. "Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators," Cowles Foundation Discussion Papers 1783, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:1783

    Download full text from publisher

    File URL:
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    1. Karl Case & John Quigley, 2008. "How Housing Booms Unwind: Income Effects, Wealth Effects, and Feedbacks through Financial Markets," International Journal of Housing Policy, Taylor & Francis Journals, vol. 8(2), pages 161-180.
    2. Case Karl E. & Quigley John M. & Shiller Robert J., 2005. "Comparing Wealth Effects: The Stock Market versus the Housing Market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-34, May.
    3. Alan Greenspan & James Kennedy, 2008. "Sources and uses of equity extracted from homes," Oxford Review of Economic Policy, Oxford University Press, vol. 24(1), pages 120-144, spring.
    4. Case, Karl E. & Quigley, John M., 2009. "How Housing Busts End: Home Prices, User Cost, and Rigidities During Down Cycles," Berkeley Program on Housing and Urban Policy, Working Paper Series qt6mh9m4ff, Berkeley Program on Housing and Urban Policy.
    5. Arthur Kennickell & Annamaria Lusardi, 2004. "Disentangling the Importance of the Precautionary Saving Mode," NBER Working Papers 10888, National Bureau of Economic Research, Inc.
    6. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," The Quarterly Journal of Economics, Oxford University Press, vol. 116(4), pages 1233-1260.
    7. Martha Starr-McCluer, 2002. "Stock Market Wealth and Consumer Spending," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 69-79, January.
    8. Kennickell, Arthur B & Starr-McCluer, Martha, 1997. "Retrospective Reporting of Household Wealth: Evidence from the 1983-1989 Survey of Consumer Finances," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 452-463, October.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Jiang, Hui & Wang, Shaochen, 2017. "Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 156(C), pages 57-69.

    More about this item


    Generalized method of moments; Empirical likelihood; Large deviations;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1783. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matthew Regan). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.