GEL methods for non-smooth moment indicators
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- Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(01), pages 74-113, February.
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Cited by:
- Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
- 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.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- 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.
- 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.
- repec:eee:econom:v:200:y:2017:i:1:p:1-16 is not listed on IDEAS
- F Bravo, 2008. "Effcient M-estimators with auxiliary information," Discussion Papers 08/26, Department of Economics, University of York.
- Feng, Qiang, 2012. "A GEL-based AIC for model selection," Economics Letters, Elsevier, vol. 116(3), pages 637-639.
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This paper has been announced in the following NEP Reports:- NEP-ALL-2008-08-21 (All new papers)
- NEP-ECM-2008-08-21 (Econometrics)
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