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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data

Citations

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Cited by:

  1. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
  2. Dong, Chaohua & Chen, Rong & Xiao, Zhijie & Liu, Weiyi, 2024. "Functional quantile autoregression," Journal of Econometrics, Elsevier, vol. 244(2).
  3. Gao, Zhaoxing & Ma, Yingying & Wang, Hansheng & Yao, Qiwei, 2019. "Banded spatio-temporal autoregressions," Journal of Econometrics, Elsevier, vol. 208(1), pages 211-230.
  4. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
  5. Zhang, Jia & Shi, Haoming & Tian, Lemeng & Xiao, Fengjun, 2019. "Penalized generalized empirical likelihood in high-dimensional weakly dependent data," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 270-283.
  6. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  7. Qinqin Hu & Lu Lin, 2017. "Conditional sure independence screening by conditional marginal empirical likelihood," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(1), pages 63-96, February.
  8. Chaohua Dong & Jiti Gao & Bin Peng, 2018. "Series estimation for single-index models under constraints," Monash Econometrics and Business Statistics Working Papers 5/18, Monash University, Department of Econometrics and Business Statistics.
  9. Victor Chernozhukov & Iv'an Fern'andez-Val & Chen Huang & Weining Wang, 2024. "Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models," Papers 2402.00584, arXiv.org, revised Oct 2024.
  10. Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018. "Confidence regions for entries of a large precision matrix," Journal of Econometrics, Elsevier, vol. 206(1), pages 57-82.
  11. Chang, Jinyuan & Qiu, Yumou & Yao, Qiwei & Zou, Tao, 2018. "Confidence regions for entries of a large precision matrix," LSE Research Online Documents on Economics 87513, London School of Economics and Political Science, LSE Library.
  12. Difang Huang & Jiti Gao & Tatsushi Oka, 2025. "Semiparametric single-index estimation for average treatment effects," Econometric Reviews, Taylor & Francis Journals, vol. 44(6), pages 843-885, July.
  13. Berger, Yves G. & Patilea, Valentin, 2022. "A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection," Econometrics and Statistics, Elsevier, vol. 24(C), pages 151-163.
  14. Ando, Tomohiro & Sueishi, Naoya, 2019. "Regularization parameter selection for penalized empirical likelihood estimator," Economics Letters, Elsevier, vol. 178(C), pages 1-4.
  15. Ma, Yingying & Guo, Shaojun & Wang, Hansheng, 2023. "Sparse spatio-temporal autoregressions by profiling and bagging," Journal of Econometrics, Elsevier, vol. 232(1), pages 132-147.
  16. Tomohiro Ando & Naoya Sueishi, 2019. "On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator," Econometrics, MDPI, vol. 7(1), pages 1-14, March.
  17. Mahdieh Bayati & Seyed Kamran Ghoreishi & Jingjing Wu, 2021. "Bayesian analysis of restricted penalized empirical likelihood," Computational Statistics, Springer, vol. 36(2), pages 1321-1339, June.
  18. Xiaohui Yuan & Huixian Li & Tianqing Liu, 2021. "Empirical likelihood inference for rank regression with doubly truncated data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(1), pages 25-73, March.
  19. Xiaohong Chen & Yin Jia Jeff Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
  20. Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
  21. Tang, Niansheng & Yan, Xiaodong & Zhao, Puying, 2018. "Exponentially tilted likelihood inference on growing dimensional unconditional moment models," Journal of Econometrics, Elsevier, vol. 202(1), pages 57-74.
  22. Dou, Baojun & Parrella, Maria Lucia & Yao, Qiwei, 2016. "Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients," Journal of Econometrics, Elsevier, vol. 194(2), pages 369-382.
  23. Jinyuan Chang & Qiao Hu & Zhentao Shi & Jia Zhang, 2025. "Empirical likelihood approach for high-dimensional moment restrictions with dependent data," Papers 2502.18970, arXiv.org, revised Mar 2025.
  24. Peng, Hanxiang & Schick, Anton, 2018. "Asymptotic normality of quadratic forms with random vectors of increasing dimension," Journal of Multivariate Analysis, Elsevier, vol. 164(C), pages 22-39.
  25. Dou, Baojun & Parrella, Maria Lucia & Yao, Qiwei, 2016. "Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients," LSE Research Online Documents on Economics 67151, London School of Economics and Political Science, LSE Library.
  26. Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
  27. Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
  28. Xianyang Zhang & Xiaofeng Shao, 2016. "On the coverage bound problem of empirical likelihood methods for time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 395-421, March.
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