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GEL methods for non-smooth moment indicators

Author Info

Listed author(s):
  • Paulo Parente

    (Institute for Fiscal Studies)

  • Richard Smith

    ()

    (Institute for Fiscal Studies and University of Cambridge)

Abstract

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in finite samples. These include EL, ET and the CUE. This paper also establishes the validity of tests suggested in the smooth moment indicators case for over-dentifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix which may be problematic for the sample sizes typically encountered in practice.

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File URL: http://cemmap.ifs.org.uk/wps/cwp1908.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP19/08.

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Date of creation: 08 Jul 2008
Handle: RePEc:ifs:cemmap:19/08
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Cited by:

  1. F Bravo, 2008. "Effcient M-estimators with auxiliary information," Discussion Papers 08/26, Department of Economics, University of York.
  2. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  3. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
  4. Hill, Jonathan B., 2015. "Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 131-152.
  5. Feng, Qiang, 2012. "A GEL-based AIC for model selection," Economics Letters, Elsevier, vol. 116(3), pages 637-639.

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