Journal article
Gel methods for nonsmooth moment indicators
PMDC Parente, RJ Smith
Econometric Theory | CAMBRIDGE UNIV PRESS | Published : 2011
Abstract
This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of estimators for models specified by nonsmooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient generalized method of moments (GMM) estimator that may suffer from substantial biases in finite samples. These include empirical likelihood (EL), exponential tilting (ET), and the continuous updating estimator (CUE). This paper also establishes the validity of tests suggested in the smooth moment indicators case for overidentifying restrictions and specification. In particular, a number of these tests avoid the necessity of ..
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Funding Acknowledgements
We are grateful for the constructive comments and criticisms of a co-editor and two referees on an earlier version of the paper. This research has been presented at the University of Warwick; the Netherlands Econometric Study Group Conference 2005. Amsterdam, the 2005 ESRC Econometric Study Group Annual Conference, Bristol; and the 2005 World Congress of the Econometric Society, U.C.L., London. We are thankful to R. Dupleich Ulloa, J.A.F. Machado, M.B. Stewart. and participants at those meetings for useful comments. The Fundacao para a Ciencia e Tecnologia and a 2002 Leverhulme Major Research Fellowship provided financial support for Parente and Smith, respectively. Any errors are solely the responsibility of the authors.