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Recent Developments in empirical likelihood and related methods

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资源简介

Paulo M.D.C. Parente 

Department of Economics, University of Exeter, Exeter EX4 4ST, United Kingdom

Centre for Research inMicroeconomics, Faculty of Economics, University of Cambridge,
Cambridge CB3 9DD, United Kingdom

Richard J. Smith

Centre for Microdata Methods and Practice, University College London, and Institute of
Fiscal Studies, London WC1E 7AE, United Kingdom
 

Abstract

This article reviews a number of recent contributions to estimation and inference for models defined by moment condition restrictions.The particular emphasis is on the generalized empirical likelihood class of estimators as an alternative to the generalized method of moments. Estimation methods for parameters defined through moment
restrictions and their properties are described with tests of overidentifying moment restrictions and parametric hypotheses.Computational issues are discussed together with some proposals for their amelioration. Higher-order and other properties are also addressed in some detail. Models specified by conditional moment restriction models are considered, and the adaptation of these methods to weakly dependent data is discussed.

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