Richard Smith

QUASI-MAXIMUM LIKELIHOOD AND THE KERNEL BLOCK BOOTSTRAP FOR NONLINEAR DYNAMIC MODELS

Paulo MDC Parente, Richard J Smith

Journal article  |  2021  |  Journal of Time Series Analysis

This article applies a novel bootstrap method, the kernel block bootstrap (KBB), to quasi‐maximum likelihood (QML) estimation of d..

Improved density and distribution function estimation

V Oryshchenko, RJ Smith

Journal article  |  2019  |  Electronic Journal of Statistics

Given additional distributional information in the form of moment restrictions, kernel density and distribution function estimator..

Generalised Anderson-Rubin Statistic Based Inference In The Presence Of A Singular Moment Variance Matrix

Nicky L Grant, Richard Smith

Report  |  2019

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the..

Generalised Empirical Likelihood Kernel Based Bootstrapping

Paulo MDC Parente, Richard Smith

Report  |  2018

This article unveils how the kernel block bootstrap method of Parente and Smith (2018a,2018b) can be applied to make inferences on..

Kernel block bootstrap

Paulo Parente, Richard Smith

Report  |  2018

This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel block bootstrap..

Royal Economic Society Annual Conference 2016 Special Issue on Model Selection and Inference

Richard J Smith

Journal article  |  2018  |  ECONOMETRICS JOURNAL

GEL-based inference with unconditional moment inequality restrictions

Nicky L Grant, Richard Smith

Report  |  2018

This paper studies the properties of generalised empirical likelihood (GEL) methods for the estimation of and inference on partial..

Tests of additional conditional moment restrictions

PMDC Parente, RJ Smith

Journal article  |  2017  |  Journal of Econometrics

The primary focus of this article is the provision of tests for the validity of a set of conditional moment constraints additional..

Royal Economic Society Annual Conference 2015 Special Issue on Econometrics of Matching

Richard J Smith

Journal article  |  2017  |  ECONOMETRICS JOURNAL

Improving confidence set estimation when parameters are weakly identified

Heather Battey, Qiang Feng, Richard J Smith

Journal article  |  2016  |  STATISTICS & PROBABILITY LETTERS

We consider inference in weakly identified moment condition models when additional partially identifying moment inequality constra..