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Quasi Empirical Likelihood Estimation of Moment Condition Models

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  • Shane M. Sherlund

Abstract

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood estimator, which has been shown to have good statistical properties. The quasi empirical likelihood estimator is a consistent estimator and has a normal asymptotic distribution. As with the full-blown empirical likelihood estimator, the quasi empirical likelihood estimator reduces finite-sample bias, but is much simpler to compute than the empirical likelihood estimator. Monte Carlo experiments and a quick validation exercise confirm my theoretical results

Suggested Citation

  • Shane M. Sherlund, 2004. "Quasi Empirical Likelihood Estimation of Moment Condition Models," Econometric Society 2004 North American Summer Meetings 507, Econometric Society.
    • Handle: RePEc:ecm:nasm04:507
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    References listed on IDEAS

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    2. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
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    6. Hahn, Jinyong, 2002. "Optimal Inference With Many Instruments," Econometric Theory, Cambridge University Press, vol. 18(1), pages 140-168, February.
    7. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
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    10. Yuichi Kitamura, 2001. "Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions," Econometrica, Econometric Society, vol. 69(6), pages 1661-1672, November.
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    13. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
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    Cited by:

    1. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.

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    More about this item

    Keywords

    GMM; empirical likelihood; finite-sample bias; instrumental variables;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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