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Citations for "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models"

by Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn

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  1. Komunjer, Ivana & Ragusa, Giuseppe, 2009. "Existence and Uniqueness of Semiparametric Projections," University of California at San Diego, Economics Working Paper Series qt0wg3j51c, Department of Economics, UC San Diego.
  2. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
  3. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  4. Naoto Kunitomo & Takashi Owada, 2004. "Empirical Likelihood Estimation of Levy Processes (Revised: March 2005)," CIRJE F-Series CIRJE-F-272, CIRJE, Faculty of Economics, University of Tokyo.
  5. Chambers, Marcus J, 2010. "Jackknife Estimation of Stationary Autoregressive Models," Economics Discussion Papers 2786, University of Essex, Department of Economics.
  6. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
  7. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
  8. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
  9. Naoto Kunitomo & Takashi Owada, 2004. "Empirical Likelihood Estimation of Levy Processes (Revised in March 2005)," CARF F-Series CARF-F-002, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  10. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
  11. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  12. Su, Liangjun & White, Halbert, 2014. "Testing conditional independence via empirical likelihood," Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
  13. Naoto Kunitomo & Yukitoshi Matsushita, 2009. "Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations," CIRJE F-Series CIRJE-F-611, CIRJE, Faculty of Economics, University of Tokyo.
  14. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
  15. Chen, Ziqi & Shi, Ning-Zhong & Gao, Wei & Tang, Man-Lai, 2011. "Efficient semiparametric estimation via Cholesky decomposition for longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3344-3354, December.
  16. Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
  17. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
  18. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
  19. Yuan, Xiaohui & Liu, Tianqing & Lin, Nan & Zhang, Baoxue, 2010. "Combining conditional and unconditional moment restrictions with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2420-2433, November.
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  21. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
  22. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
  23. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  24. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
  25. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
  26. Chen, Songxi & Peng, Liang & Yu, Cindy, 2013. "Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions," MPRA Paper 46273, University Library of Munich, Germany.
  27. 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.
  28. Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
  29. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76 Elsevier.
  30. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
  31. Wang, Yafeng & Graham, Brett, 2010. "Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information," MPRA Paper 23153, University Library of Munich, Germany.
  32. Otsu, Taisuke, 2007. "Penalized empirical likelihood estimation of semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1923-1954, November.
  33. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation for Research in Economics, Yale University.
  34. Gospodinov, Nikolay & Otsu, Taisuke, 2012. "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
  35. Naoto Kunitomo & Yukitoshi Matsushita, 2003. "Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System," CIRJE F-Series CIRJE-F-237, CIRJE, Faculty of Economics, University of Tokyo.
  36. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
  37. Komunjer, Ivana & Ragusa, Giuseppe, 2016. "Existence And Characterization Of Conditional Density Projections," Econometric Theory, Cambridge University Press, vol. 32(04), pages 947-987, August.
  38. Naoto Kunitomo & Yukitoshi Matsushita, 2003. "On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator," CIRJE F-Series CIRJE-F-200, CIRJE, Faculty of Economics, University of Tokyo.
  39. Naoya Sueishi, 2015. "A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models," Discussion Papers 1531, Graduate School of Economics, Kobe University.
  40. Hyungsik Roger Moon & Frank Schorfheide, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers 06.56, Institute of Economic Policy Research (IEPR).
  41. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2011. "Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 87-99.
  42. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  43. Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(01), pages 114-153, February.
  44. Philip Kostov, 2013. "Empirical likelihood estimation of the spatial quantile regression," Journal of Geographical Systems, Springer, vol. 15(1), pages 51-69, January.
  45. Zhu, Lixing & Lin, Lu & Cui, Xia & Li, Gaorong, 2010. "Bias-corrected empirical likelihood in a multi-link semiparametric model," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 850-868, April.
  46. Wen-Tai Hsu & Tomoya Mori & Tony E. Smith, 2014. "Spatial Patterns and Size Distributions of Cities," KIER Working Papers 882, Kyoto University, Institute of Economic Research.
  47. Sueishi, Naoya, 2016. "A simple derivation of the efficiency bound for conditional moment restriction models," Economics Letters, Elsevier, vol. 138(C), pages 57-59.
  48. 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.
  49. Naoto Kunitomo, 2002. "Improving Small Sample Properties of the Empirical Likelihood Estimation," CIRJE F-Series CIRJE-F-184, CIRJE, Faculty of Economics, University of Tokyo.
  50. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
  51. Han, Peisong & Song, Peter X.-K. & Wang, Lu, 2015. "Achieving semiparametric efficiency bound in longitudinal data analysis with dropouts," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 59-70.
  52. Liu, Tianqing & Yuan, Xiaohui, 2012. "Combining quasi and empirical likelihoods in generalized linear models with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 39-58.
  53. Yuan, Ao & Xu, Jinfeng & Zheng, Gang, 2014. "On empirical likelihood statistical functions," Journal of Econometrics, Elsevier, vol. 178(P3), pages 613-623.
  54. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  55. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
  56. Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions," Cowles Foundation Discussion Papers 1731, Cowles Foundation for Research in Economics, Yale University.
  57. Kiwitt, Sebastian & Nagel, Eva-Renate & Neumeyer, Natalie, 2005. "Empirical likelihood estimators for the error distribution in nonparametric regression models," Technical Reports 2005,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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