Journal article

GEL statistics under weak identification

Patrik Guggenberger, Joaquim JS Ramalho, Richard J Smith

Journal of Econometrics | ELSEVIER SCIENCE SA | Published : 2012

DOI: 10.1016/j.jeconom.2012.05.009

University of Melbourne Researchers

Richard Smith Author Economics

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Keywords

Generalised Empirical Likelihood

Science & Technology

Sample Properties

Empirical Likelihood

Physical Sciences

Business & Economics

Implied Probabilities

Covariance-Matrix

Conditional Likelihood Ratio Statistic

Weak Identification

Social Sciences

Social Sciences, Mathematical Methods

Positive Semidefinite

Mathematics, Interdisciplinary Applications

Mathematical Methods in Social Sciences

Instrumental Variables Regression

Asymptotically Pivotal Statistics

Square Diagnostic-Tests

Time-Series Models

Generalized-Method

Nonlinear Moment Conditions

Econometric-Models